TY  - JOUR
AU  - Lumsdaine,Robin L.
AU  - Prasad,Eswar S.
TI  - Identifying the Common Component in International Economic Fluctuations
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5984
PY  - 1997
Y2  - April 1997
UR  - http://www.nber.org/papers/w5984
L1  - http://www.nber.org/papers/w5984.pdf
N1  - Author contact info:
Robin L. Lumsdaine
Kogod School of Business
American University
4400 Massachusetts Avenue NW
Washington, DC 20016
Tel: 202/885-1964
E-Mail: robin.lumsdaine@american.edu

Eswar S. Prasad
Dyson School of Applied Economics and
Management
Cornell University
440 Warren Hall
Ithaca, NY 14853
Tel: 607/255-5687
Fax: 607/255-9984
E-Mail: eswar.prasad@cornell.edu
AB  - In this paper, we develop an aggregation procedure using time-varying weights for constructing the common component in international economic fluctuations.  The methodology for deriving time-varying weights is based on some stylized features of the data documented in the paper.  The model allows for a unified treatment of cyclical and seasonal fluctuations and also captures the dynamic propagation of shocks across countries. Based on correlations of individual country fluctuations with the common component, we find evidence for a `world business cycle' as well as evidence for a distinct European common component.  We find few systematic differences in international business cycle relationships between the Bretton Woods and post-Bretton Woods periods.
ER  -