CEU Electronic Theses and Dissertations, 2023
| Author | Nobrega Pereira Teixeira, Joao |
|---|---|
| Title | Factor Analysis of Business Cycle Synchronization in the Euro Area |
| Summary | A stylized fact from the literature of Optimal Currency Area is the need of a high degree of co-movement among member economies. In this study, I employ a Dynamic Factor Model to analyze business cycle synchronization among Euro Area members. The core idea underlying this class of models is that the co-movements among many time-series can be modeled by a few latent factors. My results confirm the existing findings in the literature. There is indeed a European Business Cycle that drives a significant part of the variance of GDP across the continent. However, certain countries have part of their variance explained by regional components, while, other have more idiosyncratic output patterns, which cannot be explained by any common factors. Over time, synchronization seems to increase for some countries but not for others. However, all economies experience increases during times of crisis. |
| Supervisor | L. Bárány, Zsófia |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2023/nobrega-pereira_joao.pdf |
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