Caicedo-llano, Juliana; Bruneau, Catherine - In: Economics Bulletin 29 (2009) 2, pp. 1466-1482
We analyze the comovements of a set of country-sector indexes from 45 different countries studying their factor decomposition based on a PCA analysis for a large cross section framework. We derive a measure to analyze the comovements over time based on the part of variance explained by the main...