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This paper develops 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 captures the dynamic propagation of shocks across countries. Correlations of individual country fluctuations with the common component provide evidence of a “world business cycle” and a distinct European common component. The results suggest that macroeconomic fluctuations have become more closely linked across industrial economies in the post–Bretton Woods period.
Econometrics --- Macroeconomics --- Industries: General --- Business Fluctuations --- Cycles --- Model Construction and Estimation --- Prices, Business Fluctuations, and Cycles: Forecasting and Simulation --- Macroeconomics: Production --- Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) --- Classification Methods --- Cluster Analysis --- Principal Components --- Factor Models --- Industrial Organization: General --- Economic growth --- Econometrics & economic statistics --- Industrial production --- Production growth --- Business cycles --- Factor models --- Industrial sector --- Production --- Econometric analysis --- Economic sectors --- Industries --- Economic theory --- Econometric models --- United States
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