Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/60779 
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dc.contributor.authorDel Negro, Marcoen
dc.contributor.authorOtrok, Christopheren
dc.date.accessioned2010-04-21-
dc.date.accessioned2012-08-17T14:33:18Z-
dc.date.available2012-08-17T14:33:18Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen
dc.relation.ispartofseries|aStaff Report |x326en
dc.subject.jelC11en
dc.subject.jelC32en
dc.subject.jelF02en
dc.subject.ddc330en
dc.subject.keywordBayesian factor modelsen
dc.subject.keywordtime-varying parametersen
dc.subject.keywordGreat Moderationen
dc.subject.keywordinternational business cyclesen
dc.titleDynamic factor models with time-varying parameters: Measuring changes in international business cycles-
dc.typeWorking Paperen
dc.identifier.ppn587541962en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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