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...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Paris
OECD Publishing
2018
|
| Series: | OECD Economics Department Working Papers
|
| Subjects: | |
| Links: | https://doi.org/10.1787/ba7c5c04-en |
| Summary: | 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 |
| Physical Description: | 1 Online-Ressource (27 Seiten) |
| DOI: | 10.1787/ba7c5c04-en |
Staff View
MARC
| LEADER | 00000nam a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV047931130 | ||
| 003 | DE-604 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 220413s2018 xx o|||| 00||| eng d | ||
| 024 | 7 | |a 10.1787/ba7c5c04-en |2 doi | |
| 035 | |a (ZDB-13-SOC)061324825 | ||
| 035 | |a (OCoLC)1312706619 | ||
| 035 | |a (DE-599)BVBBV047931130 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-384 |a DE-91 |a DE-473 |a DE-824 |a DE-29 |a DE-739 |a DE-355 |a DE-20 |a DE-1028 |a DE-1049 |a DE-188 |a DE-521 |a DE-861 |a DE-898 |a DE-92 |a DE-573 |a DE-19 | ||
| 100 | 1 | |a Maravalle, Alessandro |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Changes in Economic and Financial Synchronisation |b A Global Factor Analysis |c Alessandro Maravalle and Łukasz Rawdanowicz |
| 264 | 1 | |a Paris |b OECD Publishing |c 2018 | |
| 300 | |a 1 Online-Ressource (27 Seiten) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a OECD Economics Department Working Papers | |
| 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 | ||
| 650 | 4 | |a Economics | |
| 700 | 1 | |a Rawdanowicz, Łukasz |4 ctb | |
| 856 | 4 | 0 | |u https://doi.org/10.1787/ba7c5c04-en |x Verlag |z kostenfrei |3 Volltext |
| 912 | |a ZDB-13-SOC | ||
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-033312623 | |
Record in the Search Index
| DE-BY-OTHR_katkey | 6530490 |
|---|---|
| DE-BY-TUM_katkey | 2627493 |
| _version_ | 1831257599662620673 |
| adam_text | |
| any_adam_object | |
| author | Maravalle, Alessandro |
| author2 | Rawdanowicz, Łukasz |
| author2_role | ctb |
| author2_variant | ł r łr |
| author_facet | Maravalle, Alessandro Rawdanowicz, Łukasz |
| author_role | aut |
| author_sort | Maravalle, Alessandro |
| author_variant | a m am |
| building | Verbundindex |
| bvnumber | BV047931130 |
| collection | ZDB-13-SOC |
| ctrlnum | (ZDB-13-SOC)061324825 (OCoLC)1312706619 (DE-599)BVBBV047931130 |
| discipline | Wirtschaftswissenschaften |
| doi_str_mv | 10.1787/ba7c5c04-en |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000zc 4500</leader><controlfield tag="001">BV047931130</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">220413s2018 xx o|||| 00||| eng d</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1787/ba7c5c04-en</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-13-SOC)061324825</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1312706619</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV047931130</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-384</subfield><subfield code="a">DE-91</subfield><subfield code="a">DE-473</subfield><subfield code="a">DE-824</subfield><subfield code="a">DE-29</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-20</subfield><subfield code="a">DE-1028</subfield><subfield code="a">DE-1049</subfield><subfield code="a">DE-188</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-861</subfield><subfield code="a">DE-898</subfield><subfield code="a">DE-92</subfield><subfield code="a">DE-573</subfield><subfield code="a">DE-19</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Maravalle, Alessandro</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Changes in Economic and Financial Synchronisation</subfield><subfield code="b">A Global Factor Analysis</subfield><subfield code="c">Alessandro Maravalle and Łukasz Rawdanowicz</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Paris</subfield><subfield code="b">OECD Publishing</subfield><subfield code="c">2018</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (27 Seiten)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">OECD Economics Department Working Papers</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="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</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Economics</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Rawdanowicz, Łukasz</subfield><subfield code="4">ctb</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1787/ba7c5c04-en</subfield><subfield code="x">Verlag</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-13-SOC</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-033312623</subfield></datafield></record></collection> |
| id | DE-604.BV047931130 |
| illustrated | Not Illustrated |
| indexdate | 2025-01-11T15:45:23Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033312623 |
| oclc_num | 1312706619 |
| open_access_boolean | 1 |
| owner | DE-384 DE-91 DE-BY-TUM DE-473 DE-BY-UBG DE-824 DE-29 DE-739 DE-355 DE-BY-UBR DE-20 DE-1028 DE-1049 DE-188 DE-521 DE-861 DE-898 DE-BY-UBR DE-92 DE-573 DE-19 DE-BY-UBM |
| owner_facet | DE-384 DE-91 DE-BY-TUM DE-473 DE-BY-UBG DE-824 DE-29 DE-739 DE-355 DE-BY-UBR DE-20 DE-1028 DE-1049 DE-188 DE-521 DE-861 DE-898 DE-BY-UBR DE-92 DE-573 DE-19 DE-BY-UBM |
| physical | 1 Online-Ressource (27 Seiten) |
| psigel | ZDB-13-SOC |
| publishDate | 2018 |
| publishDateSearch | 2018 |
| publishDateSort | 2018 |
| publisher | OECD Publishing |
| record_format | marc |
| series2 | OECD Economics Department Working Papers |
| 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 |
| work_keys_str_mv | AT maravallealessandro changesineconomicandfinancialsynchronisationaglobalfactoranalysis AT rawdanowiczłukasz changesineconomicandfinancialsynchronisationaglobalfactoranalysis |