| dc.creator |
Eickmeier, Sandra |
|
| dc.date |
2005 |
|
| dc.date.accessioned |
2013-10-16T07:05:22Z |
|
| dc.date.available |
2013-10-16T07:05:22Z |
|
| dc.date.issued |
2013-10-16 |
|
| dc.identifier |
http://hdl.handle.net/10419/19510 |
|
| dc.identifier |
ppn:480971919 |
|
| dc.identifier |
RePEc:zbw:bubdp1:2936 |
|
| dc.identifier.uri |
http://koha.mediu.edu.my:8181/xmlui/handle/10419/19510 |
|
| dc.description |
In this paper we rely on techniques recently developed by Bai and Ng (2004a) to estimate common euro-area stationary and non-stationary factors using a large-scale dynamic factor model. We find that euro-area economies share four non-stationary factors or trends and one stationary factor. By means of rotation techniques, we estimate a euro-area business cycle which is a fairly good match to EuroCOIN, the euro-area coincident business cycle indicator published by the CEPR. Fluctuations of common euro-area factors mainly reflect variations of German and French real economic activity as well as of producer prices and financial prices (long-term interest rates and/or real effective exchange rates) in various countries. As concerns the transmission channels, macroeconomic shocks seem to proliferate in the euro area more strongly through trade, exchange rates and long-term interest rates than through stock prices. Among the external driving forces, shocks to US economic activity seem to be more strongly linked to shocks to the euro-area factors than oil price shocks. We finally find evidence of mild overall convergence; results for individual countries are mixed. |
|
| dc.language |
eng |
|
| dc.relation |
Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2005,02 |
|
| dc.rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
|
| dc.subject |
C50 |
|
| dc.subject |
F40 |
|
| dc.subject |
F02 |
|
| dc.subject |
C32 |
|
| dc.subject |
ddc:330 |
|
| dc.subject |
Dynamic factor models |
|
| dc.subject |
factor rotation |
|
| dc.subject |
common trends |
|
| dc.subject |
international business cycles |
|
| dc.subject |
international transmission channels |
|
| dc.subject |
Konjunkturzusammenhang |
|
| dc.subject |
Europäische Wirtschafts- und Währungsunion |
|
| dc.subject |
Faktorenanalyse |
|
| dc.subject |
Schätzung |
|
| dc.subject |
EU-Staaten |
|
| dc.title |
Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model |
|
| dc.type |
doc-type:workingPaper |
|
| dc.coverage |
1981-2003 |
|