Changes in Economic and Financial Synchronisation: A Global Factor Analysis
We estimate dynamic factor models for two sub-samples between 1995 and 2017 for up to 42 advanced and emerging-market economies to investigate changes in the contribution of global and regional factors to fluctuations in real GDP per capita growth, inflation, 10-year government bond yields and equit...
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| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Paris
OECD Publishing
2018
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| Schriftenreihe: | OECD Economics Department Working Papers
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| Schlagwörter: | |
| Links: | https://doi.org/10.1787/ba7c5c04-en |
| Zusammenfassung: | We estimate dynamic factor models for two sub-samples between 1995 and 2017 for up to 42 advanced and emerging-market economies to investigate changes in the contribution of global and regional factors to fluctuations in real GDP per capita growth, inflation, 10-year government bond yields and equity prices. The combined average contribution of global and regional factors in explaining fluctuations of GDP growth and inflation increased between 1995-2006 and 2007-17. In contrast, for financial variables, the role of country-specific factors strengthened between these two periods. The general findings are robust to alternative specifications of the lag structure, data frequency and the country composition of the largest region. Country-specific factors explain a higher share of variation of financial variables in emerging-market economies compared with advanced economies. For all variables, there is large cross-country heterogeneity regarding the level of contributions of specific factors and their evolution over time |
| Umfang: | 1 Online-Ressource (27 Seiten) |
| DOI: | 10.1787/ba7c5c04-en |
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| 520 | |a We estimate dynamic factor models for two sub-samples between 1995 and 2017 for up to 42 advanced and emerging-market economies to investigate changes in the contribution of global and regional factors to fluctuations in real GDP per capita growth, inflation, 10-year government bond yields and equity prices. The combined average contribution of global and regional factors in explaining fluctuations of GDP growth and inflation increased between 1995-2006 and 2007-17. In contrast, for financial variables, the role of country-specific factors strengthened between these two periods. The general findings are robust to alternative specifications of the lag structure, data frequency and the country composition of the largest region. Country-specific factors explain a higher share of variation of financial variables in emerging-market economies compared with advanced economies. For all variables, there is large cross-country heterogeneity regarding the level of contributions of specific factors and their evolution over time | ||
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| illustrated | Not Illustrated |
| indexdate | 2025-01-11T15:45:23Z |
| institution | BVB |
| language | English |
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| spellingShingle | Maravalle, Alessandro Changes in Economic and Financial Synchronisation A Global Factor Analysis Economics |
| title | Changes in Economic and Financial Synchronisation A Global Factor Analysis |
| title_auth | Changes in Economic and Financial Synchronisation A Global Factor Analysis |
| title_exact_search | Changes in Economic and Financial Synchronisation A Global Factor Analysis |
| title_full | Changes in Economic and Financial Synchronisation A Global Factor Analysis Alessandro Maravalle and Łukasz Rawdanowicz |
| title_fullStr | Changes in Economic and Financial Synchronisation A Global Factor Analysis Alessandro Maravalle and Łukasz Rawdanowicz |
| title_full_unstemmed | Changes in Economic and Financial Synchronisation A Global Factor Analysis Alessandro Maravalle and Łukasz Rawdanowicz |
| title_short | Changes in Economic and Financial Synchronisation |
| title_sort | changes in economic and financial synchronisation a global factor analysis |
| title_sub | A Global Factor Analysis |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/ba7c5c04-en |
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