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190505 ||| eng |
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|a Maravalle, Alessandro
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245 |
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|a Changes in Economic and Financial Synchronisation
|h Elektronische Ressource
|b A Global Factor Analysis
|c Alessandro, Maravalle and Łukasz, Rawdanowicz
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260 |
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|a Paris
|b OECD Publishing
|c 2018
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300 |
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|a 27 p
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653 |
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|a Economics
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700 |
1 |
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|a Rawdanowicz, Łukasz
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041 |
0 |
7 |
|a eng
|2 ISO 639-2
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989 |
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|b OECD
|a OECD Books and Papers
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490 |
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|a OECD Economics Department Working Papers
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024 |
8 |
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|a /10.1787/ba7c5c04-en
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856 |
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|a oecd-ilibrary.org
|u https://doi.org/10.1787/ba7c5c04-en
|x Verlag
|3 Volltext
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082 |
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|a 330
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520 |
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|a We estimate dynamic factor models for two sub-samples between 1995 and 2017 for up to 42 advanced and emerging-market economies to investigate changes in the contribution of global and regional factors to fluctuations in real GDP per capita growth, inflation, 10-year government bond yields and equity prices. The combined average contribution of global and regional factors in explaining fluctuations of GDP growth and inflation increased between 1995-2006 and 2007-17. In contrast, for financial variables, the role of country-specific factors strengthened between these two periods. The general findings are robust to alternative specifications of the lag structure, data frequency and the country composition of the largest region. Country-specific factors explain a higher share of variation of financial variables in emerging-market economies compared with advanced economies. For all variables, there is large cross-country heterogeneity regarding the level of contributions of specific factors and their evolution over time
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