Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model

Sandra Eickmeier
Additional contact information
Sandra Eickmeier: Deutsche Bundesbank, Frankfurt am Main, and University of Cologne, Germany, Postal: Deutsche Bundesbank, Frankfurt am Main, and University of Cologne, Germany

Journal of Applied Econometrics, 2009, vol. 24, issue 6, pages 933-959

Abstract: This paper establishes stylized facts on comovements and heterogeneity of individual euro area countries' output and price developments in the past two decades. For this purpose, a non-stationary structural dynamic factor model is fitted to a large dataset of euro area macroeconomic variables. The main results are as follows. Both common factors and idiosyncratic components are important in explaining individual countries' output and price developments in the euro area and are also both very persistent. Idiosyncratic shocks and adjustments to these shocks are mainly responsible for cross-country heterogeneity. The asymmetric transmission of common shocks plays a minor role. Finally, there is no strong evidence that some common shocks lead to greater heterogeneity than others. Copyright © 2009 John Wiley & Sons, Ltd.

Date: 2009

Downloads: (external link)
http://hdl.handle.net/10.1002/jae.1068 Link to full text; subscription required (text/html)
http://qed.econ.queensu.ca:80/jae/2009-v24.6/ Supporting data files and programs (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:jae:japmet:v:24:y:2009:i:6:p:933-959

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Series data maintained by Christopher F. Baum ().