Common and Idiosyncratic Components in Real Output: Further International Evidence

December 1, 2002

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Format: Chicago

Francisco d Nadal De Simone. Common and Idiosyncratic Components in Real Output: Further International Evidence, (USA: International Monetary Fund, 2002) accessed September 18, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper uses the classical (level) definition of business cycles to analyze the characteristics-duration, amplitude, steepness, and cumulative output movements-of the real GDP series of France, Germany, Italy, the rest of the euro area, and the United States. An index of concordance and its test statistic suggest a great deal of comovement/synchronization between output cycles. Following that result, a dynamic factor model is estimated. Output fluctuations are mostly explained by a global common component and an euro area common component. However, idiosyncratic components also matter, especially for France, the rest of the euro area, and the United States.

Subject: Business cycles, Cyclical indicators, Econometric analysis, Economic growth, Factor models, Inflation, Prices, Social security contributions, Taxes

Keywords: Business cycles, Common, Cyclical indicators, European and idiosyncratic components, Factor models, FR expansion, FR real GDP series, Global, Inflation, IT output, Italy, Pairs FR-IT, REA output, Real GDP, Social security contributions, State-space Models, WP

Publication Details

Pages:

19
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2002/229
Stock No:

WPIEA2292002
ISBN:

9781451875485
ISSN:

1018-5941

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