Abstract

http://ssrn.com/abstract=1698158
 
 

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Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area


Olivier De Bandt


Banque de France - Economic Study and Research Division

Catherine Bruneau


Université Paris X Nanterre

Alexis Flageollet


affiliation not provided to SSRN

June 1, 2006

Banque de France Working Paper No. NER-R 145

Abstract:     
The objective of the paper is to investigate to what extent business cycles co-move in Germany, France and Italy. We use a large-scale database of non-stationary series for the euro area in order to assess the effect of common versus idiosyncratic shocks, as well as transitory versus permanent shocks, across countries over the 1980:Q1 to 2003:Q4 period. We apply the method-ology proposed by Bai (2004) and Bai and Ng (2004) to construct a coincident indicator of the euro area business cycle to which national developments appear to be increasingly correlated at business cycle frequencies (8 to 32 quarters), while more significant differences appear at lower frequencies which measures potential growth. The indicator is also shown to be related to extra euro area economic developments.

Number of Pages in PDF File: 40

Keywords: Factor Models, Non-Stationary Panel Data Models, Euro Area Business Cycles

JEL Classification: C12, C22

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Date posted: October 27, 2010  

Suggested Citation

de Bandt, Olivier and Bruneau, Catherine and Flageollet, Alexis, Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area (June 1, 2006). Banque de France Working Paper No. NER-R 145. Available at SSRN: http://ssrn.com/abstract=1698158 or http://dx.doi.org/10.2139/ssrn.1698158

Contact Information

Olivier De Bandt (Contact Author)
Banque de France - Economic Study and Research Division ( email )
31, rue Croix des Petits Champs
75049 Paris Cedex 01
FRANCE
(33 1) 42 92 28 80 (Phone)
(33 1) 42 92 27 66 (Fax)
Catherine Bruneau
Université Paris X Nanterre ( email )
Room G301, Building G
92001 Nanterre Cedex, 92001
France
Alexis Flageollet
affiliation not provided to SSRN ( email )
Feedback to SSRN


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