Kose, M. Ayhan; Otrok, Christopher; Prasad, Eswar - Institute for the Study of Labor (IZA) - 2008
economies. Using a dynamic factor model, we then decompose macroeconomic fluctuations in key macroeconomic aggregates – output …, consumption, and investment – into different factors. These are: (i) a global factor, which picks up fluctuations that are common … across all variables and countries; (ii) three group-specific factors, which capture fluctuations that are common to all …