Identifying the Common Component of International Economic Fluctuations: A New Approach

@inproceedings{Lumsdaine2003IdentifyingTC,
  title={Identifying the Common Component of International Economic Fluctuations: A New Approach},
  author={Robin L. Lumsdaine and E. Sujith Prasad},
  year={2003}
}
In this paper, we develop an aggregation procedure using time-varying weights for constructing the common component of international economic fluctuations. The methodology for deriving time-varying weights is based on some stylized features of the data documented in the paper. The model allows for a unified treatment of cyclical and seasonal fluctuations and also accommodates the dynamic propagation of shocks across countries. Based on correlations of individual country fluctuations with the… CONTINUE READING

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