{"id":51841,"date":"2023-12-01T17:43:36","date_gmt":"2023-12-01T16:43:36","guid":{"rendered":"https:\/\/www.wifo.ac.at\/publication\/a-multi-country-approach-to-analysing-the-euro-area-output-gap\/"},"modified":"2024-11-07T05:56:51","modified_gmt":"2024-11-07T04:56:51","slug":"a-multi-country-approach-to-analysing-the-euro-area-output-gap","status":"publish","type":"publication","link":"https:\/\/www.wifo.ac.at\/en\/publication\/51841\/","title":{"rendered":"A Multi-country Approach to Analysing the Euro Area Output Gap"},"content":{"rendered":"","protected":false},"featured_media":0,"template":"","class_list":["post-51841","publication","type-publication","status-publish","hentry"],"acf":{"subtitle":"","text":"We develop a multivariate dynamic factor model that exploits euro area country-specific information on output and inflation for estimating an area-wide measure of the output gap. In the proposed multi-country framework we moreover allow for flexible stochastic volatility specifications for both the error variances and the innovations to the latent quantities in order to deal with potential changes in the commonalities of business cycle movements. By tracing the relative importance of the common euro area output gap component as a means to explaining movements in both output and inflation over time, the paper provides valuable insights in the evolution of the degree of synchronicity of the country-specific business cycles. In an out-of-sample forecasting exercise, the paper shows that the proposed approach performs well as compared to other well-known benchmark specifications.","onlinedate":"2018-03-13 12:00:00","lang":"English","publication_series":"","publication_date":"20180301","publication_date_year":"","publication_date_full":false,"publication_num_pages":"30","keywords":"[]","jelcodes":"[]","related_publications":"[]","pdf":372905,"zip":null,"link":"","monthly_report":true,"monthly_report_main":false,"monthly_report_volume":"","monthly_report_pages":"","monthly_report_pages_sort":"0","issue":"560","journal":"WIFO Working Papers","publisher":"","invisible":false,"external":false,"embargo_date":"2018-03-13 12:00:00","types":[44410],"research_groups":[3481],"collaboration":"","persons":[11879,3803],"persons_data":"[{\"personId\":11879,\"personName\":\"Florian Huber\",\"organisationNames\":[]},{\"personId\":3803,\"personName\":\"Philipp Piribauer\",\"organisationNames\":[]}]","clients":[10660],"subclients":[],"partners":[],"topics":[],"host_publication_title":"","host_publication_subtitle":"","place_of_publication":"","host_publication_editors":"[]","type_description":"","output_media":"","chapter":"","article_number":"","citations":"{\"apa\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_apa rendering_contributiontoperiodical rendering_apa rendering_contributiontoperiodical_apa\\\">Huber, F.<span>, &amp; Piribauer, P.<\\\/span> (2018). <span>A Multi-country Approach to Analysing the Euro Area Output Gap<\\\/span>. <span><em>WIFO Working Papers<\\\/em><\\\/span>, (560). <a onclick=\\\"window.open(this.href, '_blank','noopener,noreferrer'); return false;\\\" href=\\\"https:\\\/\\\/www.wifo.ac.at\\\/wwa\\\/pubid\\\/61004\\\" class=\\\"link\\\"><span>https:\\\/\\\/www.wifo.ac.at\\\/wwa\\\/pubid\\\/61004<\\\/span><\\\/a><\\\/div>\",\"vancouver\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_vancouver rendering_contributiontoperiodical rendering_vancouver rendering_contributiontoperiodical_vancouver\\\">Huber F<span>, Piribauer P<\\\/span>. <span class=\\\"title\\\"><span>A Multi-country Approach to Analysing the Euro Area Output Gap<\\\/span><\\\/span>. <span>WIFO Working Papers<\\\/span>. 2018 Mar;(560).<\\\/div>\",\"bibtex\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_bibtex rendering_contributiontoperiodical rendering_bibtex rendering_contributiontoperiodical_bibtex\\\"><div>@misc{229e6ff3f2c64d3d80f0868901e9e782,<\\\/div><div>  title    = \\\"A Multi-country Approach to Analysing the Euro Area Output Gap\\\",<\\\/div><div>  abstract = \\\"We develop a multivariate dynamic factor model that exploits euro area country-specific information on output and inflation for estimating an area-wide measure of the output gap. In the proposed multi-country framework we moreover allow for flexible stochastic volatility specifications for both the error variances and the innovations to the latent quantities in order to deal with potential changes in the commonalities of business cycle movements. By tracing the relative importance of the common euro area output gap component as a means to explaining movements in both output and inflation over time, the paper provides valuable insights in the evolution of the degree of synchronicity of the country-specific business cycles. In an out-of-sample forecasting exercise, the paper shows that the proposed approach performs well as compared to other well-known benchmark specifications.\\\",<\\\/div><div>  keywords = \\\"European Business Cycles, Dynamic factor model, Forecasting\\\",<\\\/div><div>  author   = \\\"Florian Huber and Philipp Piribauer\\\",<\\\/div><div>  note     = \\\"Euro Area Output Gap\\\",<\\\/div><div>  year     = \\\"2018\\\",<\\\/div><div>  month    = mar,<\\\/div><div>  language = \\\"English\\\",<\\\/div><div>  journal  = \\\"WIFO Working Papers\\\",<\\\/div><p>}<\\\/p><\\\/div>\",\"ris\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_ris rendering_contributiontoperiodical rendering_ris rendering_contributiontoperiodical_ris\\\"><p>TY  - GEN<\\\/p><p>T1  - A Multi-country Approach to Analysing the Euro Area Output Gap<\\\/p><p>AU  - Huber, Florian<\\\/p><p>AU  - Piribauer, Philipp<\\\/p><p>N1  - Euro Area Output Gap<\\\/p><p>PY  - 2018\\\/3<\\\/p><p>Y1  - 2018\\\/3<\\\/p><p>N2  - We develop a multivariate dynamic factor model that exploits euro area country-specific information on output and inflation for estimating an area-wide measure of the output gap. In the proposed multi-country framework we moreover allow for flexible stochastic volatility specifications for both the error variances and the innovations to the latent quantities in order to deal with potential changes in the commonalities of business cycle movements. By tracing the relative importance of the common euro area output gap component as a means to explaining movements in both output and inflation over time, the paper provides valuable insights in the evolution of the degree of synchronicity of the country-specific business cycles. In an out-of-sample forecasting exercise, the paper shows that the proposed approach performs well as compared to other well-known benchmark specifications.<\\\/p><p>AB  - We develop a multivariate dynamic factor model that exploits euro area country-specific information on output and inflation for estimating an area-wide measure of the output gap. 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