Changes in Economic and Financial Synchronisation : A Global Factor Analysis / Alessandro Maravalle and Łukasz Rawdanowicz.

Format:

• Book
• Government document

Author/Creator:

• Maravalle, Alessandro, author.

Contributor:

• Rawdanowicz, Łukasz.
• SourceOECD (Online service)

Series:

• OECD Economics Department Working Papers 18151973 ; no.1517.
• OECD Economics Department Working Papers 18151973 ; no.1517

Language:

English

Subjects (All):

• Economics.

Physical Description:

1 online resource (27 pages).

Place of Publication:

Paris : OECD Publishing, 2018.

System Details:

text file

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.

Notes:

Title from title screen (viewed May 1, 2017).

Access Restriction:

Restricted for use by site license.