GLOBALISATION EFFECT MEASURE VIA HIERARCHICAL DYNAMIC FACTOR MODELLING
Agne Reklaite ()
Additional contact information
Agne Reklaite: Vilnius University
Equilibrium. Quarterly Journal of Economics and Economic Policy, 2015, vol. 10, issue 3, pages 139-149
In this paper the issue of globalisation and deteriorating precision of domestically oriented frameworks is addressed. A hypothesis that the effect of international trends on the growth of economy is increasing over time is formed. In order to validate this, a method of composing foreign series with local indicators in a hierarchical dynamic factor model is presented. The novelty of this approach is that globalisation effect is measured focusing on prediction rather than similarity. This way the measure presents the country's sensitivity to global shocks and reveals how much focal country's economy is intertwined with global economy. The application was performed on the basis of Lithuanian data and the hypothesis was validated. The results indicate that globalisation effect has an increasing effect over time.
Keywords: leading indicator; hierarchical dynamic factor model; globalisation; economic growth (search for similar items in EconPapers)
JEL-codes: C43 E32 C10 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:pes:ierequ:v:10:y:2015:i:3:p:139-149
Access Statistics for this article
Equilibrium. Quarterly Journal of Economics and Economic Policy is currently edited by Adam P. Balcerzak
More articles in Equilibrium. Quarterly Journal of Economics and Economic Policy from Institute of Economic Research Contact information at EDIRC.
Series data maintained by Adam P. Balcerzak ().