Common and Idiosyncratic Components in Real Output: Further International Evidence

Author/Editor:

Francisco d Nadal De Simone

Publication Date:

December 1, 2002

Electronic Access:

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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.

Series:

Working Paper No. 2002/229

Subject:

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

English

Publication Date:

December 1, 2002

ISBN/ISSN:

9781451875485/1018-5941

Stock No:

WPIEA2292002

Pages:

19

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