Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This paper reviews the international business cycle among Group of Seven (G-7) countries since 1973 from two angles. An examination of business cycle synchronization among these countries using simple descriptive statistics shows that synchronized slowdowns have been the norm rather than the exception and that the slowdown in 2000-2001 largely followed patterns seen in the past. The paper also identifies the international business cycle with an asymptotic dynamic factor model. Two global factors explain roughly 80 percent of the variance in G-7 output gaps at business cycle frequencies. The factor model decomposes the "common part" of national output fluctuations into two factors, one capturing the average G-7 cycle and one that corrects for phase and amplitude differences. We also found some evidence supporting the hypothesis that global shocks were the main force behind the slowdown in 2000-2001.

Econometrics --- Macroeconomics --- Production and Operations Management --- Business Fluctuations --- Cycles --- Open Economy Macroeconomics --- Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation --- Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) --- Macroeconomics: Production --- Classification Methods --- Cluster Analysis --- Principal Components --- Factor Models --- Economic growth --- Econometrics & economic statistics --- Business cycles --- Output gap --- Factor models --- Production --- Econometric analysis --- Economic theory --- Econometric models --- United States

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S. macroecoomic data set. The results are encouraging as the algorithm forecasts outperform benchmark model forecasts, in a mean square error (MSE) sense, in a majority of cases.

Econometrics --- Investments: Stocks --- Forecasting --- Forecasting and Other Model Applications --- Classification Methods --- Cluster Analysis --- Principal Components --- Factor Models --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Economic Forecasting --- Econometrics & economic statistics --- Investment & securities --- Economic forecasting --- Factor models --- Stocks --- Econometric models --- United States --- Econometric models. --- Economic conditions

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

The Knowledge Assessment Methodology (KAM) database measures variables that may be used to assess the readiness of countries for the knowledge economy and has many policy uses. Formal analysis using KAM data is faced with the problem of which variables to choose and why. Rather than make these decisions in an ad hoc manner, the authors recommend factor-analytic methods to distill the information contained in the many KAM variables into a smaller set of "factors." Their main objective is to quantify the factors for each country, and to do so in a way that allows comparisons of the factor scores over time. The authors investigate both principal components as well as true factor analytic methods, and emphasize simple structures that help provide a clear political-economic meaning of the factors, but also allow comparisons over time.

Correlation --- Correlations --- Covariance --- Data --- E-Business --- Errors --- Factor Analysis --- Information Security and Privacy --- Matrices --- Matrix --- Measurement --- Missing Data --- Orthogonality --- Population Parameters --- Principal Components Analysis --- Private Sector Development --- Regression Analysis --- Sample Size --- Samples --- Science and Technology Development --- Scientists --- Standard Errors --- Stata --- Statistical and Mathematical Sciences --- Variables

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This paper uses the classical (level) definition of business cycles to analyze the characteristics-duration, amplitude, steepness, and cumulative output movements-of the real GDP series of France, Germany, Italy, the rest of the euro area, and the United States. An index of concordance and its test statistic suggest a great deal of comovement/synchronization between output cycles. Following that result, a dynamic factor model is estimated. Output fluctuations are mostly explained by a global common component and an euro area common component. However, idiosyncratic components also matter, especially for France, the rest of the euro area, and the United States.

Econometrics --- Inflation --- Macroeconomics --- Taxation --- Business Fluctuations --- Cycles --- Model Construction and Estimation --- International Policy Coordination and Transmission --- Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) --- Price Level --- Deflation --- Personal Income and Other Nonbusiness Taxes and Subsidies --- Classification Methods --- Cluster Analysis --- Principal Components --- Factor Models --- Economic growth --- Welfare & benefit systems --- Econometrics & economic statistics --- Business cycles --- Cyclical indicators --- Social security contributions --- Factor models --- Prices --- Taxes --- Econometric analysis --- Social security --- Econometric models --- United States

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

The estimation of discount factors is a central issue in empirical finance, particularly in the literature on excess volatility. In particular, it is difficult to find empirical discount factors that are volatile enough to account for fluctuations in asset prices. This paper constructs discount factors from some macroeconomic time series commonly used in empirical models of asset prices. Data for the U.S. stock market imply some evidence that discount factors relate to macroeconomic conditions, but comparison of the estimated discount factors to Hansen-Jagannathan (1991) bounds shows that the candidate discount factors cannot account for the volatility in asset returns.

Banks and Banking --- Classification Methods --- Cluster Analysis --- Consumption --- Econometric models --- Econometrics & economic statistics --- Econometrics --- Economics --- Factor Models --- Factor models --- Finance --- Financial Instruments --- General Financial Markets: General (includes Measurement and Data) --- Government securities --- Institutional Investors --- Interest rates --- Interest Rates: Determination, Term Structure, and Effects --- Investment & securities --- Investments: General --- Investments: Stocks --- Macroeconomics --- Macroeconomics: Consumption --- Non-bank Financial Institutions --- Pension Funds --- Principal Components --- Saving --- Stocks --- Treasury bills and bonds --- Wealth --- Yield curve