Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
Dt. Bundesbank
2005
|
| Schriftenreihe: | Discussion paper / Deutsche Bundesbank : Series 1, Studies of the Economic Research Centre
2005,2 |
| Schlagworte: | |
| Online-Zugang: | Volltext Inhaltsverzeichnis |
| Beschreibung: | Zsfassung in dt. Sprache |
| Beschreibung: | 48 S. graph. Darst. |
| ISBN: | 3865580386 |
Internformat
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| 245 | 1 | 0 | |a Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model |c Sandra Eickmeier |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
1 Introduction ]
2 Data and the model 4
Data 4
The model 5
3 Estimation of the model 6
4 Interpreting the euro area factors 9
Giving individual factors an economic meaning 10
Estimating the euro area business cycle 13
To what extent do country specific and euro area shocks coincide? 13
To what extent do variable specific and euro area shocks coincide? 14
5 Has convergence taken place over time? 16
6 Conclusion 17
Appendix A 19
References 2
Tables and Figures
Table 1 Data set 23
Table 2 Cumulative share of the total variance explained by 28
static principal components
Table 3 Cumulative share of the variance explained by dynamic 29
principal components
Table 4 Information criteria to estimate q according to 29
Breitung and Kretschmer (2004)
Table 5 Johansen cointegration test applied to cp, 29
Table 6 Correlations between shocks to individual factors and 30
variables, largest ten correlations
Table 7 Summarizing Table 6 34
Table 8 Trace R2 (country specific shocks), all factors 35
Table 9 Canonical correlations (country specific shocks), all factors 35
Table 10 Trace R2 (variable specific shocks) 36
Table 11 Canonical correlations (variable specific shocks) 37
Figure 1 Common euro area stationary and non stationary factors ( p, ) 38
Figure 2 Euro area business cycle estimate, EuroCOIN, recessions 38
declared by the CEPR Euro Area Business Cycle Committee
Figure 3 Variance share explained by the common factors 39
rolling 5 year samples (total, euro area aggregates,
GDP growth and inflation growth of individual countries)
Figure 4 Standard deviations of GDP growth and inflation across 41
core euro area countries
|
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| indexdate | 2024-07-09T20:06:02Z |
| institution | BVB |
| isbn | 3865580386 |
| language | English |
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| physical | 48 S. graph. Darst. |
| psigel | ebook |
| publishDate | 2005 |
| publishDateSearch | 2005 |
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| publisher | Dt. Bundesbank |
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| series2 | Discussion paper / Deutsche Bundesbank : Series 1, Studies of the Economic Research Centre |
| spelling | Eickmeier, Sandra Verfasser (DE-588)129194581 aut Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model Sandra Eickmeier Frankfurt am Main Dt. Bundesbank 2005 48 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Deutsche Bundesbank : Series 1, Studies of the Economic Research Centre 2005,2 Zsfassung in dt. Sprache Mitgliedsstaaten swd Währungsunion swd Europäische Union swd Deutsche Bundesbank Discussion paper Series 1, Studies of the Economic Research Centre ; 2005,2 (DE-604)BV017594637 2005,2 http://hdl.handle.net/10419/19510 Verlag kostenfrei Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013110390&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Eickmeier, Sandra Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model Mitgliedsstaaten swd Währungsunion swd |
| title | Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model |
| title_auth | Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model |
| title_exact_search | Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model |
| title_full | Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model Sandra Eickmeier |
| title_fullStr | Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model Sandra Eickmeier |
| title_full_unstemmed | Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model Sandra Eickmeier |
| title_short | Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model |
| title_sort | common stationary and non stationary factors in the euro area analyzed in a large scale factor model |
| topic | Mitgliedsstaaten swd Währungsunion swd |
| topic_facet | Mitgliedsstaaten Währungsunion Europäische Union |
| url | http://hdl.handle.net/10419/19510 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013110390&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV017594637 |
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