Identifying the Common Component in International Economic Fluctuations : A New Approach /

This paper develops 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 stylized features of the data documented in the paper. The model allows for a unifi...

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Bibliographic Details
Main Author: Lumsdaine, Robin
Other Authors: Prasad, Eswar
Format: Journal
Language:English
Published: Washington, D.C. : International Monetary Fund, 1999.
Series:IMF Working Papers; Working Paper ; No. 1999/154
Online Access:Full text available on IMF
Description
Summary:This paper develops 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 stylized features of the data documented in the paper. The model allows for a unified treatment of cyclical and seasonal fluctuations and also captures the dynamic propagation of shocks across countries. Correlations of individual country fluctuations with the common component provide evidence of a 'world business cycle' and a distinct European common component. The results suggest that macroeconomic fluctuations have become more closely linked across industrial economies in the post-Bretton Woods period.
Item Description:<strong>Off-Campus Access:</strong> No User ID or Password Required
<strong>On-Campus Access:</strong> No User ID or Password Required
Physical Description:1 online resource (38 pages)
Format:Mode of access: Internet
ISSN:1018-5941
Access:Electronic access restricted to authorized BRAC University faculty, staff and students