Identifying The Common Component of International Economic Fluctuations : A New Approach  

Oleh:

Lumsdaine, Robin L. ; Prasad, Eswar S.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 113 no. 484 (2003), page 101-127.
Topik: ECONOMIC; common component; economic fluctuations
Fulltext: 101.pdf (394.23KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.9 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

In this paper, we develop an aggregation procedure using time - varying weights for constructing the common component of international economic fluctuations. The methodology for deriving time - varying weights is based on some stylised features of the data documented in the paper. The model allows for a unified treatment of cyclical and seasonal fluctuations and also accomodates the dynamic propahation of schocks across countries. We find evidence for a "world business cycle" as well as evidence for a distinct european common component. We also find some evidence that macro economic fluctuations have become more closely linked across industrial economies in the period after 1973.

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