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-area macroeconomic variables observed between 1982 and 2003....

This paper analyzes how bank lending to the private nonbank sector responds dynamically to aggregate supply, demand and monetary policy shocks in Germany and the euro area. The results suggest that the dynamic responses in the two areas are broadly similar, although there are some differences in...

In the aftermath of the financial crisis trust, in the European Central Bank (ECB) has reached an historical low. Taking panel data and using a fixed effects DFGLS estimation for a 12–country sample over the time period 1999 to 2011 with a total of 312 observations, this paper detects a...

Trust in the ECB has fallen to unprecedented lows in the aftermath of the financial crisis. Up to the start of the recession in 2008, trust levels in the ECB were moderately high and trust in the ECB was not affected by business cycle variables such as growth and inflation. This changed...

Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an...

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 area. We first establish stylized facts on economic...

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...