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dc.contributor.authorDel Negro, Marcoen_US
dc.contributor.authorOtrok, Christopheren_US
dc.date.accessioned2010-04-21en_US
dc.date.accessioned2012-08-17T14:33:18Z-
dc.date.available2012-08-17T14:33:18Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/60779-
dc.description.abstractWe develop a dynamic factor model with time-varying factor loadings and stochastic volatility in both the latent factors and idiosyncratic components. We employ this new measurement tool to study the evolution of international business cycles in the post-Bretton Woods period, using a panel of output growth rates for nineteen countries. We find 1) statistical evidence of a decline in volatility for most countries, with the timing, magnitude, and source (international or domestic) of the decline differing across countries; 2) some evidence of a decline in business cycle synchronization for Group of Seven (G-7) countries, but otherwise no evidence of changes in synchronization for the sample countries, including European and euro-area countries; and 3) convergence in the volatility of business cycles across countries.en_US
dc.language.isoengen_US
dc.publisherFederal Reserve Bank of New York New York, NYen_US
dc.relation.ispartofseriesStaff Report, Federal Reserve Bank of New York 326en_US
dc.subject.jelC11en_US
dc.subject.jelC32en_US
dc.subject.jelF02en_US
dc.subject.ddc330en_US
dc.subject.keywordBayesian factor modelsen_US
dc.subject.keywordtime-varying parametersen_US
dc.subject.keywordGreat Moderationen_US
dc.subject.keywordinternational business cyclesen_US
dc.titleDynamic factor models with time-varying parameters: Measuring changes in international business cyclesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn587541962en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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