Changes in Economic and Financial Synchronisation: A Global Factor Analysis
We estimate dynamic factor models for two sub-samples between 1995 and 2017 for up to 42 advanced and emerging-market economies to investigate changes in the contribution of global and regional factors to fluctuations in real GDP per capita growth, inflation, 10-year government bond yields and equit...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
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Paris
OECD Publishing
2018
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| Schriftenreihe: | OECD Economics Department Working Papers
no.1517 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | We estimate dynamic factor models for two sub-samples between 1995 and 2017 for up to 42 advanced and emerging-market economies to investigate changes in the contribution of global and regional factors to fluctuations in real GDP per capita growth, inflation, 10-year government bond yields and equity prices. The combined average contribution of global and regional factors in explaining fluctuations of GDP growth and inflation increased between 1995-2006 and 2007-17. In contrast, for financial variables, the role of country-specific factors strengthened between these two periods. The general findings are robust to alternative specifications of the lag structure, data frequency and the country composition of the largest region. Country-specific factors explain a higher share of variation of financial variables in emerging-market economies compared with advanced economies. For all variables, there is large cross-country heterogeneity regarding the level of contributions of specific factors and their evolution over time. |
| Beschreibung: | 1 Online-Ressource (27 p.) |
| DOI: | 10.1787/ba7c5c04-en |
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| spelling | Maravalle, Alessandro VerfasserIn aut Changes in Economic and Financial Synchronisation A Global Factor Analysis Alessandro, Maravalle and Łukasz, Rawdanowicz Paris OECD Publishing 2018 1 Online-Ressource (27 p.) Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier OECD Economics Department Working Papers no.1517 We estimate dynamic factor models for two sub-samples between 1995 and 2017 for up to 42 advanced and emerging-market economies to investigate changes in the contribution of global and regional factors to fluctuations in real GDP per capita growth, inflation, 10-year government bond yields and equity prices. The combined average contribution of global and regional factors in explaining fluctuations of GDP growth and inflation increased between 1995-2006 and 2007-17. In contrast, for financial variables, the role of country-specific factors strengthened between these two periods. The general findings are robust to alternative specifications of the lag structure, data frequency and the country composition of the largest region. Country-specific factors explain a higher share of variation of financial variables in emerging-market economies compared with advanced economies. For all variables, there is large cross-country heterogeneity regarding the level of contributions of specific factors and their evolution over time. Economics Rawdanowicz, Łukasz MitwirkendeR ctb FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/ba7c5c04-en Volltext |
| spellingShingle | Maravalle, Alessandro Changes in Economic and Financial Synchronisation A Global Factor Analysis Economics |
| title | Changes in Economic and Financial Synchronisation A Global Factor Analysis |
| title_auth | Changes in Economic and Financial Synchronisation A Global Factor Analysis |
| title_exact_search | Changes in Economic and Financial Synchronisation A Global Factor Analysis |
| title_full | Changes in Economic and Financial Synchronisation A Global Factor Analysis Alessandro, Maravalle and Łukasz, Rawdanowicz |
| title_fullStr | Changes in Economic and Financial Synchronisation A Global Factor Analysis Alessandro, Maravalle and Łukasz, Rawdanowicz |
| title_full_unstemmed | Changes in Economic and Financial Synchronisation A Global Factor Analysis Alessandro, Maravalle and Łukasz, Rawdanowicz |
| title_short | Changes in Economic and Financial Synchronisation |
| title_sort | changes in economic and financial synchronisation a global factor analysis |
| title_sub | A Global Factor Analysis |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/ba7c5c04-en |
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