{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,4]],"date-time":"2026-10-04T09:56:43Z","timestamp":1791107803169,"version":"4.1.0"},"reference-count":62,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2009,4,3]],"date-time":"2009-04-03T00:00:00Z","timestamp":1238716800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2009,9]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>This paper establishes stylized facts on comovements and heterogeneity of individual euro area countries' output and price developments in the past two decades. For this purpose, a non\u2010stationary structural dynamic factor model is fitted to a large dataset of euro area macroeconomic variables. The main results are as follows. Both common factors and idiosyncratic components are important in explaining individual countries' output and price developments in the euro area and are also both very persistent. Idiosyncratic shocks and adjustments to these shocks are mainly responsible for cross\u2010country heterogeneity. The asymmetric transmission of common shocks plays a minor role. Finally, there is no strong evidence that some common shocks lead to greater heterogeneity than others. Copyright \u00a9 2009 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1068","type":"journal-article","created":{"date-parts":[[2009,4,3]],"date-time":"2009-04-03T08:22:17Z","timestamp":1238746937000},"page":"933-959","source":"Crossref","is-referenced-by-count":44,"title":["Comovements and heterogeneity in the euro area analyzed in a non\u2010stationary dynamic factor model"],"prefix":"10.1002","volume":"24","author":[{"given":"Sandra","family":"Eickmeier","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2009,9,23]]},"reference":[{"key":"e_1_2_9_2_1","unstructured":"AltissimoF BassanettiA CristadoroR ForniM HallinM LippiM ReichlinL.2001.EuroCOIN: a real time coincident indicator of the euro area business cycle.CEPR Working Paper 3108."},{"key":"e_1_2_9_3_1","unstructured":"AltissimoF BenignoP PalenzuelaDR.2004. Inflation differentials in a currency area: facts explanations and policy. Mimeo.http:\/\/www.ecb.int\/events\/pdf\/conferences\/mpimphet\/Altissimo_Benigno_Rodriguez Palenzuela.pdf[10 March 2009]."},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000585"},{"key":"e_1_2_9_5_1","unstructured":"AngeliniP SivieroS TerlizzeseD.2004. Monetary policy as a sheep dog. Mimeo.http:\/\/www.ecb.int\/events\/pdf\/conferences\/mpimphet\/Angelini_Siviero_Terlizzese.pdf[10 March 2009]."},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2003.10.022"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00528.x"},{"key":"e_1_2_9_9_1","unstructured":"BaiJ NgS.2007a. Panel unit root tests with cross\u2010section dependence: a further investigation. Mimeo.http:\/\/www.columbia.edu\/\u223csn2294\/papers\/newpanic.pdf."},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000413"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2998540"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.659"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2004.08.002"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0327.2009.00214.x"},{"key":"e_1_2_9_15_1","doi-asserted-by":"crossref","unstructured":"BenalalN Diaz del HoyoJL PierluigoB VidalisN.2006.Output growth differentials across the euro area countries: some stylized facts.ECB Occasional Paper 45.","DOI":"10.2139\/ssrn.807419"},{"key":"e_1_2_9_16_1","volume-title":"Structural Breaks in Inflation Dynamics","author":"Benati L","year":"2003"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0022-1996(03)00055-2"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1353\/mcb.2006.0038"},{"issue":"1","key":"e_1_2_9_19_1","first-page":"387","article-title":"Measuring the effects of monetary policy: a Factor\u2010Augmented Vector Autoregressive (FAVAR) approach","volume":"120","author":"Bernanke B","year":"2005","journal-title":"Quarterly Journal of Economics"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.027"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9574.2005.00299.x"},{"key":"e_1_2_9_22_1","unstructured":"BreitungJ KretschmerU.2008.Determining the number of dynamic factors in large macroeconomic panels. Working paper (revised version) University of Bonn."},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-75892-1_9"},{"key":"e_1_2_9_24_1","unstructured":"Buis\u00e1nA RestoyF.2005.Cross\u2010country macroeconomic heterogeneity in EMU.Banco de Espa\u00f1a Documentos Ocasionales 0504."},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00216-1"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0022-1996(02)00085-5"},{"key":"e_1_2_9_27_1","unstructured":"CanovaF CiccarelliM OrtegaE.2006.Do political events affect business cycles?The Maastricht treaty the creation of the ECB and the euro economy.http:\/\/www.bundesbank.de\/download\/vfz\/konferenzen\/20060502_06_eltville\/paper_canova.pdf."},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.820"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912276"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1086\/426038"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.euroecorev.2005.01.001"},{"key":"e_1_2_9_32_1","doi-asserted-by":"crossref","unstructured":"ClementsB KontolemisZ LevyJ.2001.Monetary policy under EMU: differences in the transmission mechanism.IMF Working Paper 01\/102.","DOI":"10.5089\/9781451852615.001"},{"key":"e_1_2_9_33_1","doi-asserted-by":"crossref","unstructured":"CorvoisierS MojonB.2005.Breaks in the mean of inflation: how they happen and what to do with them. ECB Working Paper 451. European Central Bank: Frankfurt Germany.","DOI":"10.2139\/ssrn.676402"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1353\/mcb.2005.0028"},{"key":"e_1_2_9_35_1","unstructured":"Del NegroM OtrokC.2005.Dynamic factor models with time\u2010varying parameters: measuring changes in international business cycles.Federal Reserve Bank of New York Staff Report 326."},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jce.2006.06.003"},{"key":"e_1_2_9_37_1","unstructured":"European Central Bank.2003.Inflation differentials in the euro area: potential causes and policy implications. Mimeo ECB Frankfurt."},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-2231(99)00009-3"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-937X.00053"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0014-2921(99)00068-9"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465300559037"},{"key":"e_1_2_9_42_1","unstructured":"ForniM GiannoneD LippiF ReichlinL.2005.Opening the black box: structural factor models versus structural VARs.CEPR Discussion Paper 4133."},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0297.00327"},{"key":"e_1_2_9_44_1","unstructured":"FryR PaganA.2007.Some issues in using sign restrictions for identifying structural VARs.NCER Working Paper 14."},{"key":"e_1_2_9_45_1","doi-asserted-by":"crossref","unstructured":"GiannoneD ReichlinL.2006.Trends and cycles in the euro area: how much heterogeneity and should we worry about it.ECB Working Paper 595.","DOI":"10.2139\/ssrn.886548"},{"key":"e_1_2_9_46_1","unstructured":"GiannoneD ReichlinL SalaL.2002.Tracking Greenspan: systematic and unsystematic monetary policy revisited.ECARES\u2010ULB Working Paper(www.dynfactors.org)."},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.680521"},{"key":"e_1_2_9_48_1","unstructured":"HarveyA BatesD.2003.Multivariate unit root tests stability and convergence.DAE Working Paper 301 University of Cambridge MA."},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1162\/0034653041811707"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465398557465"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282803769206278"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282803321946804"},{"key":"e_1_2_9_53_1","unstructured":"MarcellinoM StockJH WatsonMW.2000. A dynamic factor analysis of the EMU.http:\/\/www.eui.eu\/Personal\/Marcellino\/documents\/igier_marcellino_paper19.pdf."},{"issue":"1","key":"e_1_2_9_54_1","article-title":"Assessing sign restrictions","volume":"7","author":"Paustian M","year":"2007","journal-title":"BE Journal of Macroeconomics\u2014Topics"},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.832"},{"key":"e_1_2_9_56_1","doi-asserted-by":"crossref","unstructured":"PeersmanG StraubR.2006.Putting the New Keynesian model to a test.IMF Working Paper 06\/136.","DOI":"10.5089\/9781451863956.001"},{"key":"e_1_2_9_57_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500104000000019"},{"key":"e_1_2_9_58_1","unstructured":"SalaL.2003. Monetary transmission in the euro area: a factor model approach. Mimeo.www.igier.uni\u2010bocconi.it\/whos.php?vedi = 772&tbn = albero&id_doc = 177[10 March 2009]."},{"key":"e_1_2_9_59_1","doi-asserted-by":"publisher","DOI":"10.1162\/154247603770383415"},{"key":"e_1_2_9_60_1","doi-asserted-by":"crossref","unstructured":"StockJH WatsonMW.1998.Diffusion indexes.NBER Working Paper 6702.","DOI":"10.3386\/w6702"},{"key":"e_1_2_9_61_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102317351921"},{"key":"e_1_2_9_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2004.05.007"},{"key":"e_1_2_9_63_1","doi-asserted-by":"publisher","DOI":"10.1017\/CCOL0521818745.003"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.1068","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.1068","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,18]],"date-time":"2023-10-18T00:28:34Z","timestamp":1697588914000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.1068"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2009,9]]},"references-count":62,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2009,9]]}},"alternative-id":["10.1002\/jae.1068"],"URL":"https:\/\/doi.org\/10.1002\/jae.1068","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2009,9]]}}}