Common and Idiosyncratic Components in Real Output: Further International Evidence
Electronic Access:
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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.
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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