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Measuring business cycle comovements in Europe: Evidence from a dynamic factor model with time-varying parameters

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  • Lee, Jim
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Abstract

Estimation results from a dynamic factor model confirm an increase in output synchronization across European countries during the run-up to the inception of EMU, but EMU by itself has not continued to foster the emergence of a common business cycle.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 115 (2012)
Issue (Month): 3 ()
Pages: 438-440

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Handle: RePEc:eee:ecolet:v:115:y:2012:i:3:p:438-440

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Output comovement; EMU; Dynamic factor model; Time-varying parameters;

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References

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  1. M. Ayhan Kose & Eswar Prasad & Marco Terrones, 2003. "How Does Globalization Affect the Synchronization of Business Cycles?," IMF Working Papers 03/27, International Monetary Fund.
  2. Artis, Michael J & Krolzig, Hans-Martin & Toro, Juan, 1999. "The European Business Cycle," CEPR Discussion Papers 2242, C.E.P.R. Discussion Papers.
  3. Gonçalves, Carlos Eduardo S. & Rodrigues, Mauro & Soares, Tiago, 2009. "Correlation of business cycles in the euro zone," Economics Letters, Elsevier, vol. 102(1), pages 56-58, January.
  4. Frankel, Jeffrey A & Rose, Andrew K, 1998. "The Endogeneity of the Optimum Currency Area Criteria," Economic Journal, Royal Economic Society, vol. 108(449), pages 1009-25, July.
  5. Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports 326, Federal Reserve Bank of New York.
  6. Bueno, José Luis Cendejas & Santos, Sonia de Lucas & Rodríguez, Ma Jesús Delgado & Ayuso, Inmaculada Álvarez, 2011. "Testing for structural breaks in factor loadings: An application to international business cycle," Economic Modelling, Elsevier, vol. 28(1), pages 259-263.
  7. Luís Francisco Aguiar & Maria Joana Soares, 2010. "Business Cycle Synchronization and the Euro: a Wavelet Analysis," NIPE Working Papers 36/2010, NIPE - Universidade do Minho.
  8. M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2003. "International Business Cycles: World, Region, and Country-Specific Factors," American Economic Review, American Economic Association, vol. 93(4), pages 1216-1239, September.
  9. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
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Cited by:
  1. Hideaki Hirata & M. Ayhan Kose & Chris Otrok, . "Regionalization vs. Globalization," Working Paper 164456, Harvard University OpenScholar.
  2. Piljak, Vanja, 2013. "Bond markets co-movement dynamics and macroeconomic factors: Evidence from emerging and frontier markets," Emerging Markets Review, Elsevier, vol. 17(C), pages 29-43.
  3. Degiannakis, Stavros & Duffy, David & Filis, George, 2013. "Time-varying Business Cycles Synchronisation in Europe," MPRA Paper 52925, University Library of Munich, Germany.
  4. Emilio Espino & Julian Kozlowski & Juan M. Sánchez, 2013. "Regionalization vs. globalization," Working Papers 2013-002, Federal Reserve Bank of St. Louis.

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