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Common Stationary and Non-Stationary Factors in the Euro Area Analyzed in a Large-Scale Factor Model

Bundesbank Series 1 Discussion Paper No. 2005,02

56 Pages Posted: 8 Jun 2016

See all articles by Sandra Eickmeier

Sandra Eickmeier

Deutsche Bundesbank; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

Multiple version iconThere are 2 versions of this paper

Date Written: 2005

Abstract

In this paper we rely on techniques recently developed by Bai and Ng (2004a) to estimate common euro-area stationary and non-stationary factors using a large-scale dynamic factor model. We find that euro-area economies share four non-stationary factors or trends and one stationary factor. By means of rotation techniques, we estimate a euro-area business cycle which is a fairly good match to EuroCOIN, the euro-area coincident business cycle indicator

Keywords: Dynamic factor models, factor rotation, common trends, international business cycles, international transmission channels

JEL Classification: C50, F40, F02, C32

Suggested Citation

Eickmeier, Sandra, Common Stationary and Non-Stationary Factors in the Euro Area Analyzed in a Large-Scale Factor Model (2005). Bundesbank Series 1 Discussion Paper No. 2005,02, Available at SSRN: https://ssrn.com/abstract=2785088 or http://dx.doi.org/10.2139/ssrn.2785088

Sandra Eickmeier (Contact Author)

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Strasse 14
Frankfurt/Main D-60431
Germany

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) ( email )

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