Gimeno Nogués, Ricardo; Ortega Eslava, Eva - 2016
differentials across euro area countries. A multi-country dynamic factor model based on Diebold et al. (2008), where we also add a … the euro area as a whole, and for a wide range of horizons. It allows us to calculate the proportion of common vs country … euro area countries only at short maturities, while in general a common component predominates throughout the years …