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Business Cycle Dynamics in the Euro Area: A Factor-SVAR Approach

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  • Atilim Seymen

Abstract

The study investigates the business cycle dynamics in the euro area using an empirical framework which comprises common global and euro area shocks as well as allows bilateral spillovers of country-specific shocks across the member economies. Three core questions lie at the heart of the analysis: (i) To what extent are the business cycles of the euro area countries driven by common and spillover shocks? (ii) What are the extent and sources of business cycle heterogeneity in the euro area? (iii) Which mechanisms led to the moderation of business cycle activity in the euroarea until recently?

Suggested Citation

  • Atilim Seymen, 2009. "Business Cycle Dynamics in the Euro Area: A Factor-SVAR Approach," FIW Working Paper series 038, FIW.
    • Handle: RePEc:wsr:wpaper:y:2009:i:038
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    More about this item

    Keywords

    Euro Area Business Cycles; Common and Country-Specific Shocks; Spillovers; Factor-Structural Vector Autoregression;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F00 - International Economics - - General - - - General
    • O52 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Europe

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