Common and Idiosyncratic Components in Real Output: Further International Evidence
AbstractThis paper uses the classical (level) definition of business cycles to analyze the characteristics-duration, amplitude, steepness, and cumulative output movements-of the real GDP series of France, Germany, Italy, the rest of the euro area, and the United States. An index of concordance and its test statistic suggest a great deal of comovement/synchronization between output cycles. Following that result, a dynamic factor model is estimated. Output fluctuations are mostly explained by a global common component and an euro area common component. However, idiosyncratic components also matter, especially for France, the rest of the euro area, and the United States.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 02/229.
Date of creation: 01 Dec 2002
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