Identifying the Common Component in International Economic Fluctuations A New Approach
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 unifi...
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Format: | eBook |
Language: | English |
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Washington, D.C.
International Monetary Fund
1999
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Series: | IMF Working Papers
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Collection: | International Monetary Fund - Collection details see MPG.ReNa |
Summary: | 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 |
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Physical Description: | 38 pages |
ISBN: | 9781451857214 |