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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Bibliografische gegevens
Hoofdauteur: Lumsdaine, Robin
Andere auteurs: Prasad, Eswar
Formaat: Tijdschrift
Taal:English
Gepubliceerd in: Washington, D.C. : International Monetary Fund, 1999.
Reeks:IMF Working Papers; Working Paper ; No. 1999/154
Online toegang:Full text available on IMF
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100 1 |a Lumsdaine, Robin. 
245 1 0 |a Identifying the Common Component in International Economic Fluctuations :   |b A New Approach /  |c Robin Lumsdaine, Eswar Prasad. 
264 1 |a Washington, D.C. :  |b International Monetary Fund,  |c 1999. 
300 |a 1 online resource (38 pages) 
490 1 |a IMF Working Papers 
500 |a <strong>Off-Campus Access:</strong> No User ID or Password Required 
500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |a 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. 
538 |a Mode of access: Internet 
700 1 |a Prasad, Eswar. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 1999/154 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/1999/154/001.1999.issue-154-en.xml  |z IMF e-Library