产出差距的全球和地方组成部分
Florian Eckert1, Nina Mühlebach1
1KOF Swiss Economic Institute, ETH Zurich, Leonhardstrasse 21, 8092 Zurich, Switzerland.
概括
本研究引入了一个动态因素模型来分析全球,区域和国家特定的经济周期. 它揭示了全球和区域因素对国家产出差距有重大影响.
科学领域:
- 经济学 经济学 经济学
- 计量经济学 计量经济学
- 国际金融 国际金融
背景情况:
- 产出差距估计对于宏观经济分析至关重要,但往往表现出不一致.
- 现有的模型在输出差距系列中扎着混合频率,不连续性和缺失数据.
研究的目的:
- 开发一个强大的多层次动态因子模型,以确定国际产出差距估计中的共同点.
- 将产出差距分解为全球,区域和国家特定的组成部分.
主要方法:
- 一个多层次的动态因子模型被应用到157个国家的产出差距估计.
- 用随机搜索变量选择的贝叶斯状态空间模型来管理参数空间.
- 空间信息为模型的精益求精提供了先前包含概率的信息.
主要成果:
- 该模型成功地处理混合频率,破碎的边缘和数据中不连续性的数据.
- 全球周期平均占一个国家的产出差距的18%.
- 区域周期贡献了24%,国家特定周期解释了剩余的58%.
结论:
- 国家产出差距的很大一部分可以通过全球和区域经济周期来解释.
- 拟议的模型为分析国际商业周期同步提供了一个灵活的框架.
- 了解这些多层次周期对于有效的货币和财政政策协调至关重要.
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