Dynamic Factor

Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects

JEL codes: 
E30, F00
Version Date: 
Oct 2003

This Paper analyses the co-movement in activity, measured by GDP and industrial production, between the G7 countries for the period 1972-2002. For that purpose, a dynamic factor model is estimated using Kalman Filtering techniques.

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