structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and … correlated. We also apply the suggested test procedure to a US dataset used in Stock and Watson (2005) and a euro-area dataset …

This paper seeks to assess comovements and heterogeneity in the euro area by fitting a nonstationary dynamic factor … model (Bai and Ng, 2004), augmented with a structural factor setup (Forni and Reichlin, 1998), to a large set of euro … countries in more detail, we identify five structural common shocks, namely two euro-area supply shocks, one euro-area demand …

monetary policy shocks in Germany and the euro area. The results suggest that the dynamic responses in the two areas are …

A high degree of cyclical synchronization between central and east European countries (CEECs) and the euro area is … generally seen as a prerequisite for successful EMU enlargement. This paper investigates comovements between CEECs and the euro … large-scale dynamic factor model, we then identify the main structural common euro-area shocks and investigate their …

In this paper we rely on techniques recently developed by Bai and Ng (2004a) to estimate common euro-area stationary … and non-stationary factors using a large-scale dynamic factor model. We find that euro-area economies share four non …-stationary factors or trends and one stationary factor. By means of rotation techniques, we estimate a euro-area business cycle which is …

We study how credit supply shocks in the US, the euro area and Japan are transmitted to other economies. We use the … effects on domestic and foreign GDP, compared to credit supply shocks from the euro area and Japan. Domestic and foreign …

the euro area is generally seen as a prerequisite for successful EMU enlargement. This paper investigates comovements … between NMS and the euro area. We first establish stylized facts on economic linkages using dynamic correlation and cohesion … measures. We then identify the main structural common euro-area shocks and investigate their transmission to the NMS in …