Short-run and long-run comovement of GDP and some expenditure aggregates in Germany, France and Italy
AbstractThe paper presents empirical work on short-run and long-run comovement between the German, French and Italian aggregates of private consumption, business investment, exports, imports, GDP, and changes in inventories. In country-specific data sets, cointegration analyses are carried out both to identify long-run economic relationships and to remove the trend components from the nonstationary series. Analytically, this is done by reparametrizing the vector error correction model in its common trends representation. The resulting (Beveridge-Nelson) trend and cycle components as well as the series of changes in inventories are analyzed with a focus on synchronicity. To measure crosscountry comovement at different frequencies, "cohesion", a summary statistic developed by Croux et al. , is applied. Sampling variability and parameter uncertainty are captured by bootstrapped confidence intervals. --
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Bibliographic InfoPaper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2005,39.
Date of creation: 2005
Date of revision:
cointegration; trend-cycle decomposition; cohesion; bootstrap;
Find related papers by 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
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