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Short-Run and Long-Run Comovement of GDP and Some Expenditure Aggregates in Germany, France and Italy

In: Convergence or Divergence in Europe?

Author

Listed:
  • Thomas A. Knetsch

    (Deutsche Bundesbank)

Abstract

Summary The paper presents empirical work on short-run and long-run comovement between the German, French and Italian GDP as well as the aggregates of private consumption, business investment, exports, imports, 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 cross-country comovement at different frequencies, “cohesion”, a summary statistic developed by Croux et al. (2001), is applied. Sampling variability and parameter uncertainty are captured by bootstrapped confidence intervals.

Suggested Citation

  • Thomas A. Knetsch, 2006. "Short-Run and Long-Run Comovement of GDP and Some Expenditure Aggregates in Germany, France and Italy," Springer Books, in: Convergence or Divergence in Europe?, pages 209-249, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-32611-3_11
    DOI: 10.1007/3-540-32611-1_11
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    1. is not listed on IDEAS
    2. repec:dgr:rugsom:12009-eef is not listed on IDEAS
    3. Dungey, Mardi & Jacobs, Jan & Tian, Jing & Norden, Simon van, 2012. "On trend-cycle decomposition and data revision," Research Report 12009-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    4. Kilian, Lutz, 2005. "The Effects of Exogenous Oil Supply Shocks on Output and Inflation: Evidence from the G7 Countries," CEPR Discussion Papers 5404, Centre for Economic Policy Research.

    More about this item

    Keywords

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    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

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