| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1652 |
| DP1652 Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-varying First and Second Moments | |
| Lars Tyge Nielsen; Maria Vassalou | |
| 发表日期 | 1997-05-30 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | This paper studies the synchronization of output fluctuations in European regions and US counties. We extend the two component dynamic factor model à la Sargent and Sims (1977) by introducing an intermediate-level shock, which is common to all regions (counties) in each country (state), but it is not common to Europe (United States) as a whole. We build on Forni and Reichlin (1995, 1996) to propose a simple method of estimation which is based on Law of Large Numbers results and exploits the large cross-sectional dimension of the data set. The empirical findings show that Europe has a level of integration similar to that of the United States. In general, we find that the national dimension in Europe is not very important: around 75% of output variance is explained by global and purely local dynamics. Similar numbers are found for US counties and US states. The study of the dynamic profile of the components, however, shows that Europe, unlike the United States, has no traditional business cycle. Shocks are very persistent and the bulk of the variance is in the long run. We also find a European core of regions with a particularly high level of integration. The core is not defined by a set of nations, however, but by regions belonging to different countries. |
| 主题 | International Macroeconomics |
| 关键词 | Business cycle Dynamic factor model European integration |
| URL | https://cepr.org/publications/dp1652 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530792 |
| 推荐引用方式 GB/T 7714 | Lars Tyge Nielsen,Maria Vassalou. DP1652 Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-varying First and Second Moments. 1997. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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