Identifying the Common Component of International Economic Fluctuations: A New Approach

Arbeitspapier

In this paper, we develop 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 accommodates the dynamic propagation of shocks across countries. Based on correlations of individual country fluctuations with the common component, we find evidence for a ?world business cycle? as well as evidence for a distinct European common component. We also find some evidence that macroeconomic fluctuations have become more closely linked across industrial economies in the period after 1973.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IZA Discussion Papers ; No. 487

Classification and Topics

• Classification: Wirtschaft ; Model Construction and Estimation ; Business Fluctuations; Cycles ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
• Subject: economic fluctuations ; international and European business cycles ; autoregressive conditional heteroskedasticity ; Weltkonjunktur ; Konjunkturzusammenhang ; ARCH-Modell ; OECD-Staaten ; Welt

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Lumsdaine, Robin L. ; Prasad, Eswar S.
• Event: Veröffentlichung
• (who): Institute for the Study of Labor (IZA)
• (where): Bonn
• (when): 2002

Further information

• Handle: http://hdl.handle.net/10419/21470
• Last update: 10.03.2025, 11:43 AM CET