Title: Measuring cross country linkages with a panel unobserved component model
Authors: Gianni Amisano - Federal Reserve Board (United States) [presenting]
Abstract: The purpose is to use a panel unobserved component model for output and unemployment to study the interconnectedness among several countries, along different dimensions. In particular, our model allows for commonalities in cyclical and long term movements. Using a time varying parameter version of the model, we are also able to analyze the evolution of cross country linkages. A further extension of the model allows us to examine whether commonalities can be modeled with correlation across idiosyncratic components. The model and its extensions are given a network interpretation.