Short-Run and Long-Run Comovement of GDP and Some Expenditure Aggregates in Germany, France and Italy

Summary

The paper presents empirical work on short-run and long-run comovement between the German, French and Italian GDP as well as the aggregates of private consumption, business investment, exports, imports, and changes in inventories. In country-specific data sets, cointegration analyses are carried out both to identify long-run economic relationships and to remove the trend components from the nonstationary series. Analytically, this is done by reparametrizing the vector error correction model in its common trends representation. The resulting (Beveridge-Nelson) trend and cycle components as well as the series of changes in inventories are analyzed with a focus on synchronicity. To measure cross-country comovement at different frequencies, “cohesion”, a summary statistic developed by Croux et al. (2001), is applied. Sampling variability and parameter uncertainty are captured by bootstrapped confidence intervals.

The author thanks Benoît Mojon for discussing the paper at the JRP conference in Paris. Useful comments and suggestions by J örg Breitung, Olivier de Bandt, Jörg Döpke, Heinz Herrmann, Karsten Ruth, Christian Schumacher, and Giovanni Veronese are gratefully acknowledged. Of course, the author is fully responsible for all remaining shortcomings. The paper expresses the author’s personal opinion which does not necessarily reflect the views of the Deutsche Bundesbank.