Format:
48 S
,
graph. Darst
,
b
ISBN:
3865580386
Series Statement:
Discussion paper / Deutsche Bundesbank 02/2005
Content:
In this paper we rely on techniques recently developed by Bai and Ng (2004a) to estimate common euro-area stationary and non-stationary factors using a large-scale dynamic factor model. We find that euro-area economies share four non-stationary factors or trends and one stationary factor. By means of rotation techniques, we estimate a euro-area business cycle which is a fairly good match to EuroCOIN, the euro-area coincident business cycle indicator published by the CEPR. Fluctuations of common euro-area factors mainly reflect variations of German and French real economic activity as well as of producer prices and financial prices (long-term interest rates and/or real effective exchange rates) in various countries. As concerns the transmission channels, macroeconomic shocks seem to proliferate in the euro area more strongly through trade, exchange rates and long-term interest rates than through stock prices. Among the external driving forces, shocks to US economic activity seem to be more strongly linked to shocks to the euro-area factors than oil price shocks. We finally find evidence of mild overall convergence; results for individual countries are mixed.
Note:
Zsfassung in dt. Sprache
,
Literaturverz. S. 20 - 22
Language:
English
Subjects:
Economics
Keywords:
Eurozone
;
Schock
;
Transmissionsmechanismus
URL:
www.bundesbank.de/download/volkswirtschaft/dkp/2005/200502dkp.pdf
Author information:
Eickmeier, Sandra
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