Common and Idiosyncratic Components in Real Output Further International Evidence
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...
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Format: | eBook |
Language: | English |
Published: |
Washington, D.C.
International Monetary Fund
2002
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Series: | IMF Working Papers
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Online Access: | |
Collection: | International Monetary Fund - Collection details see MPG.ReNa |
Summary: | 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 |
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Physical Description: | 19 pages |
ISBN: | 9781451875485 |