International macroeconomic dynamics: A factor vector autoregressive approach

Economic Modelling

Volumn 26, Issue 2, 2009, Pages 432-444

  Bagliano, Fabio C ^a,b   Morana, Claudio ^c  

^a UNIVERSITY OF TURIN   (Italy)

^b Collegio Carlo Alberto ^*  (Italy)

^c UNIVERSITY OF EASTERN PIEDMONT   (Italy)

Author keywords

Common factors; Factor vector autoregressive models; G7; International business cycle

Indexed keywords

EID: 58249109511     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2008.09.001     Document Type: Article

References (39)

1. Bae K.H., Karolyi G.A., and Stulz R.M. A new approach to measuring financial contagion. Review of Financial Studies 16 3 (2003) 717-763
2. Bai J. Estimating cross-section common stochastic trends in nonstationary panel data. Journal of Econometrics 122 (2004) 137-183
3. Bai J. Inferential theory for factor models of large dimensions. Econometrica 71 (2003) 135-171
4. Bai J., and Ng S. Determining the number of factors in approximate factor models. Econometrica 70 (2002) 191-221
5. Bai J., and Ng S. A panic attack on unit roots and cointegration. Econometrica 72 4 (2004) 1127-1177
6. Becker R., Enders W., and Lee J. A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27 (2006) 381-409
7. Bernanke B.S., and Boivin J. Monetary policy in a data-rich environment. Journal of Monetary Economics 50 (2003) 525-546
8. Bernanke B.S., Boivin J., and Eliasz P. Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics, 120 (2005) 387-422
9. Bierens H.J. Non parametric nonlinear cotrending analysis, with an application to interest and inflation in the United States. Journal of Business and Economic Statistics 18 (2000) 323-337
10. Boivin, J. and Giannoni, M.P. 2006. DSGE Models in a Data-Rich Environment, NBER working paper n. 12772.
11. Boivin J., and Ng S. Are more data always better for factor analysis?. Journal of Econometrics 132 (2006) 169-194
12. Canova F., Ciccarelli M., and Ortega E. Similarities and convergence in G-7 cycles. Journal of Monetary Economics 54 (2007) 850-878
13. Canova F., and de Nicolò G. On the sources of business cycles in the G-7. Journal of International Economics 59 (2003) 77-100
14. Ciccarelli, M. and Mojon, B. 2005. Global Inflation, ECB working paper n. 537.
15. Dees S., di Mauro F., Pesaran M.H., and Smith V. Exploring the international linkages of the Euro area: a global VAR analysis. Journal of Applied Econometrics 22 (2007) 1-38
16. Doyle B.M., and Faust J. Breaks in the variability and co-movement of G-7 economic growth. Review of Economics and Statistics 87 (2005) 721-740
17. Ehrmann, M., Fratzscher, M. and Rigobon, R. 2005. Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission, NBER working paper, n. 11166.
18. Enders, W. and Lee, J. 2005. Testing for a Unit-Root with a Non Linear Fourier Function, University of Alabama, mimeo.
19. Favero C.A., Marcellino M., and Neglia F. Principal components at work: the empirical analysis of monetary policy with large data sets. Journal of Applied Econometrics 20 (2005) 603-620
20. Forbes K.J., and Rigobon R. No contagion, only interdependence: measuring stock market comovements. Journal of Finance 57 5 (2002) 2223-2261
21. Gallant R. The Fourier flexible form. American Journal of Agricultural Economics 66 (1984) 204-208
22. Giannone, D., Reichlin, L. and Sala, L. 2002. Tracking Greenspan: systematic and unsystematic monetary policy revisited, CEPR Discussion paper n. 3550.
23. Gordon, R.J. 2005. What Caused the Decline in U.S. Business Cycle Volatility? NBER working paper n. 11777.
24. Granger C.W., and Jeon Y. Thick modeling. Economic Modelling 21 (2004) 323-343
25. Helbling, T. and Bayoumi, T. 2003. Are They All in the Same Boat? The 2000-2001 Growth Slowdown and the G-7 Business Cycle Linkages, IMF working paper 03/46.
26. Kose M.A., Otrok C., and Whiteman C.H. International business cycles: world, regions and country-specific factors. American Economic Review 94 (2003) 1216-1239
27. Kose, M.A., Otrok, C. and Whiteman, C.H. 2005. Understanding the Evolution of World Business Cycles, IMF working paper 05/211.
28. Kwiatkowski D., Phillips P.C.B., Schmidt P., and Shin Y. Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics 54 (1992) 159-178
29. Monfort, A., Renne, J.R., Rufle, R., and Vitale, G. 2003. Is Economic Activity in the G-7 Synchronized? Common Shocks vs. Spillover Effects, CEPR discussion paper n. 4119.
30. Morana C. A small scale macroeconometric model for the Euro-12 area. Economic Modelling 23 (2006) 391-426
31. Morana C. Multivariate modelling of long memory processes with common components. Computational Statistics and Data Analysis 52 (2007) 919-934
32. Morana C., and Beltratti A. Comovements in international stock markets. Journal of International Financial Markets Institutions and Money 18 (2008) 31-45
33. Pesaran M.H., Schuermann T., and Weiner S.M. Modelling regional interdependencies using a global error correcting macroeconometric model. Journal of Business and Economic Statistics 22 (2004) 129-162
34. Pesaran M.H., and Shin Y. Generalised impulse response analysis in linear multivariate models. Economics Letters 58 (1998) 17-29
35. Said S., and Dickey D.A. Testing for unit roots in autoregressive moving average model of unknown order. Biometrika 71 (1984) 559-607
36. Sousa, J. and Zaghini, A. 2004. Monetary Policy Shocks in the Euro Area and Global Liquidity Spillovers, ECB working paper series n. 309, forthcoming in International Journal of Finance and Economics.
37. Stock J.H., and Watson M.W. Has the Business Cycle Changed? Evidence and Explanations, in Monetary Policy and Uncertainty: Adapting to a Changing Economy (2003), Federal Reserve Bank of Kansas City 9-56
38. Stock, J.H. and Watson, M.W. 2005a. Implications of Dynamic Factor Models for VAR Analysis, NBER working paper n. 11467.
39. Stock J.H., and Watson M.W. Understanding changes in international business cycle dynamics. Journal of the European Economic Association 3 (2005) 968-1006