Comovements and heterogeneity in the euro area analyzed in a non‐stationary dynamic factor model
用非平稳动态因子模型分析欧元区各国产出和价格数据的共同波动与异质性，发现共同因子和特质成分都很重要且持久，国家间差异主要来自特质冲击而非共同冲击的不对称传导。
Abstract This paper establishes stylized facts on comovements and heterogeneity of individual euro area countries' output and price developments in the past two decades. For this purpose, a non‐stationary structural dynamic factor model is fitted to a large dataset of euro area macroeconomic variables. The main results are as follows. Both common factors and idiosyncratic components are important in explaining individual countries' output and price developments in the euro area and are also both very persistent. Idiosyncratic shocks and adjustments to these shocks are mainly responsible for cross‐country heterogeneity. The asymmetric transmission of common shocks plays a minor role. Finally, there is no strong evidence that some common shocks lead to greater heterogeneity than others. Copyright © 2009 John Wiley & Sons, Ltd.