@techreport{NBERw5984, title = "Identifying the Common Component in International Economic Fluctuations", author = "Robin L. Lumsdaine and Eswar S. Prasad", institution = "National Bureau of Economic Research", type = "Working Paper", series = "Working Paper Series", number = "5984", year = "1997", month = "April", doi = {10.3386/w5984}, URL = "http://www.nber.org/papers/w5984", abstract = {In this paper, we develop an aggregation procedure using time-varying weights for constructing the common component in international economic fluctuations. The methodology for deriving time-varying weights is based on some stylized features of the data documented in the paper. The model allows for a unified treatment of cyclical and seasonal fluctuations and also captures the dynamic propagation of shocks across countries. Based on correlations of individual country fluctuations with the common component, we find evidence for a `world business cycle' as well as evidence for a distinct European common component. We find few systematic differences in international business cycle relationships between the Bretton Woods and post-Bretton Woods periods.}, }