• Abstract
  • Non-technical summary
  • 1 Introduction
  • 2 The linear state-space model
  • 3 Data
  • 4 The case of one common factor
  • 5 Explaining common factor developments v5.1 The role of fundamentals in explainingthe common factor
  • 6 A common factor model with groupspecifi c effects
  • 7 Conclusion
  • 8 Appendices
  • References
  • European Central Bank Working Paper Series