Globalisation effect measure via hierarchical dynamic factor modelling

Arbeitspapier

In this paper the issue of globalisation and deteriorating precision of domestically oriented frameworks is addressed. A hypothesis that the effect of international trends on the growth of economy is increasing over time is formed. In order to validate this a method of composing foreign series with local indicators in a hierarchical dynamic factor model is presented. The novelty of this approach is that globalisation effect is measured focusing on prediction rather than similarity. This way the measure presents country's sensitivity to global shocks and reveals how much focal country's economy is intertwined with global economy. The application was performed on Lithuanian data and the hypothesis was validated. The results indicate that globalisation effect has an increasing effect over time.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Institute of Economic Research Working Papers ; No. 91/2015

Classification and Topics

• Classification: Wirtschaft ; Index Numbers and Aggregation; Leading indicators ; Business Fluctuations; Cycles ; Econometric and Statistical Methods and Methodology: General
• Subject: leading indicator ; hierarchical dynamic factor model ; globalisation ; economic growth

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Reklaite, Agne
• Event: Veröffentlichung
• (who): Institute of Economic Research (IER)
• (where): Toruń
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/219707
• Last update: 10.03.2025, 11:43 AM CET