发布求助
文献互助 智能选刊 最新文献

ERPN: Evaluation (Metrics最新文献

筛选
英文 中文
Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles 具有时变参数的动态因子模型:衡量国际经济周期的变化
ERPN: Evaluation (Metrics Pub Date : 2008-05-01 DOI: 10.2139/ssrn.1136163
Marco Del Negro, Christopher Otrok
{"title":"Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles","authors":"Marco Del Negro, Christopher Otrok","doi":"10.2139/ssrn.1136163","DOIUrl":"https://doi.org/10.2139/ssrn.1136163","url":null,"abstract":"We develop a dynamic factor model with time-varying factor loadings and stochastic volatility in both the latent factors and idiosyncratic components. We employ this new measurement tool to study the evolution of international business cycles in the post-Bretton Woods period, using a panel of output growth rates for nineteen countries. We find: 1) statistical evidence of a decline in volatility for most countries, with the timing, magnitude, and source (international or domestic) of the decline differing across countries; 2) some evidence of a decline in business cycle synchronization for Group of Seven (G-7) countries, but otherwise no evidence of changes in synchronization for the sample countries, including European and euro-area countries; and 3) convergence in the volatility of business cycles across countries.","PeriodicalId":280510,"journal":{"name":"ERPN: Evaluation (Metrics","volume":"101 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115066869","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 301
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信