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Autoren: 
Del Negro, Marco
Otrok, Christopher
Datum: 
2008
Schriftenreihe/Nr.: 
Staff Report No. 326
Zusammenfassung: 
We 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.
Schlagwörter: 
Bayesian factor models
time-varying parameters
Great Moderation
international business cycles
JEL: 
C11
C32
F02
Dokumentart: 
Working Paper

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