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 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.
Publication date: November 1999
ISBN: 9781451857214
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Topics covered in this book

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Natural Resources , Natural Resources , Economic Fluctuations , International and European Business Cycles , Autoregressive Conditional Heteroskedasticty , common , correlations , statistics , correlation , statistic

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