Common and Idiosyncratic Components in Real Output: Further International Evidence
December 1, 2002
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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
Pages:
19
Volume:
2002
DOI:
Issue:
229
Series:
Working Paper No. 2002/229
Stock No:
WPIEA2292002
ISBN:
9781451875485
ISSN:
1018-5941
