Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/21470 
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dc.contributor.authorLumsdaine, Robin L.en
dc.contributor.authorPrasad, Eswar S.en
dc.date.accessioned2009-01-28T16:22:42Z-
dc.date.available2009-01-28T16:22:42Z-
dc.date.issued2002-
dc.identifier.urihttp://hdl.handle.net/10419/21470-
dc.description.abstractIn this paper, we develop an aggregation procedure using time-varying weights for constructing the common component of international economic fluctuations. The methodology for deriving time-varying weights is based on some stylized features of the data documented in the paper. The model allows for a unified treatment of cyclical and seasonal fluctuations and also accommodates the dynamic propagation of shocks across countries. Based on correlations of individual country fluctuations with the common component, we findevidence for a ?world business cycle? as well as evidence for a distinct European common component. We also find some evidence that macroeconomic fluctuations have become more closely linked across industrial economies in the period after 1973.en
dc.language.isoengen
dc.publisher|aInstitute for the Study of Labor (IZA) |cBonnen
dc.relation.ispartofseries|aIZA Discussion Papers |x487en
dc.subject.jelC51en
dc.subject.jelE32en
dc.subject.jelE37en
dc.subject.ddc330en
dc.subject.keywordeconomic fluctuationsen
dc.subject.keywordinternational and European business cyclesen
dc.subject.keywordautoregressive conditional heteroskedasticityen
dc.subject.stwWeltkonjunkturen
dc.subject.stwKonjunkturzusammenhangen
dc.subject.stwARCH-Modellen
dc.subject.stwOECD-Staatenen
dc.subject.stwWelten
dc.titleIdentifying the Common Component of International Economic Fluctuations: A New Approach-
dc.typeWorking Paperen
dc.identifier.ppn845545744en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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