Measuring business cycle comovements in Europe: Evidence from a dynamic factor model with time-varying parameters

Jim Lee

Economics Letters, 2012, vol. 115, issue 3, 438-440

Abstract: Estimation results from a dynamic factor model confirm an increase in output synchronization across European countries during the run-up to the inception of EMU, but EMU by itself has not continued to foster the emergence of a common business cycle.

Keywords: Output comovement; EMU; Dynamic factor model; Time-varying parameters (search for similar items in EconPapers)
JEL-codes: C13 E3 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:3:p:438-440

DOI: 10.1016/j.econlet.2011.12.125

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