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| Author: | Gregory, A. W. Head, A. C. Raynauld, J. |
| Title: | Measuring world business cycles |
| Journal: | International Economic Review
1997 : AUG, VOL. 38:3, p. 677-701 |
| Index terms: | INTERNATIONAL BUSINESS CYCLES MEASUREMENT FACTOR ANALYSIS |
| Language: | eng |
| Abstract: | This paper decomposes aggregate output, consumption, and investment for G7 countries into factors that are common across all aggregates and countries, common across aggregates within a country, and specific to each individual aggregate, using Kalman filtering and dynamic factor analysis. Fluctuations in all aggregates contain world and country-specific common components both statistically and quantitatively important, in quarterly data for the period 1970 through 1993. The world and country-specific components play different roles in different business cycle episodes for the seven countries. |
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