A multi-country approach to analysing the euro area output gap

Arbeitspapier

We develop a multivariate dynamic factor model that exploits euro area country-specific information on output and inflation for estimating an area-wide measure of the output gap. In the proposed multi-country framework we moreover allow for flexible stochastic volatility (SV) specifications for both the error variances and the innovations to the latent quantities in order to deal with potential changes in the commonalities of business cycle movements. By tracing the relative importance of the common euro area output gap component as a means to explaining movements in both output and inflation over time, the paper provides valuable insights in the evolution of the degree of synchronicity of the country-specific business cycles. In an out-of-sample forecasting exercise, the paper shows that the proposed approach performs well as compared to other well-known benchmark specifications.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: WIFO Working Papers ; No. 560

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Business Fluctuations; Cycles ; Bayesian Analysis: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Forecasting Models; Simulation Methods
• Thema: European Business Cycles ; Dynamic factor model ; Forecasting

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Huber, Florian ; Piribauer, Philipp
• Ereignis: Veröffentlichung
• (wer): Austrian Institute of Economic Research (WIFO)
• (wo): Vienna
• (wann): 2018

Weitere Informationen

• Handle: http://hdl.handle.net/10419/179314
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ