International trade fluctuations: Global versus regional factors
本文用贝叶斯动态潜因子模型分解全球、区域、国家和特定因素对贸易波动的影响，发现国际因素最重要，区域一体化程度越高则区域因素越重要。
Abstract This paper examines the relative importance of global, regional, country and idiosyncratic factors as well as the determinants that underpin fluctuations in international trade flows across different regions of the world. Our analysis starts by using a Bayesian dynamic latent factor model (BDFM) to simultaneously estimate the four dynamic factors, followed by the application of Bayesian model averaging to identify the variables that explain the shares of variance. Our key findings are: (i) international factors are the most important in explaining fluctuations in international trade, suggesting that the interconnections between economies and policies/shocks at the regional and global level tend to be more important than country‐level factors and (ii) regional integration, particularly when the agreement goes beyond trade in goods, is positively related to the share of the regional factor and inversely related to the importance of the global factor. Furthermore, the regional factor is more important in the case of economically large trade blocks. Overall, our analysis illustrates the usefulness of applying a BDFM model to study the co‐movements of international trade series.