Common Stationary and Non-Stationary Factors in the Euro Area Analyzed in a Large-Scale Factor Model

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

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Year of publication:	2016
Authors:	Eickmeier, Sandra
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Eurozone \| Euro area \| Faktorenanalyse \| Factor analysis \| EU-Staaten \| EU countries \| Theorie \| Theory \| Kointegration \| Cointegration

Extent:	1 Online-Ressource (56 p)
Series:	Bundesbank Series 1 Discussion Paper ; No. 2005,02
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2005 erstellt
Other identifiers:	10.2139/ssrn.2785088 [DOI]
Classification:	C50 - Econometric Modeling. General ; F40 - Macroeconomic Aspects of International Trade and Finance. General ; F02 - International Economic Order; Economic Integration and Globalization: General ; C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012991334