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A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis
This paper develops a dynamic factor model that uses euro area country‐specific information on output and inflation to estimate an area‐wide measure of the output gap. Our model assumes that output and inflation can be decomposed into country‐specific stochastic trends and a common cyclical componen...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
John Wiley and Sons Inc.
2020
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7507863/ https://www.ncbi.nlm.nih.gov/pubmed/32999523 http://dx.doi.org/10.1002/for.2667 |