Business cycle, interest rate and money in the euro area mon factor model.pdf.pdf

Economic Modelling 43 (2014) 136–141
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Economic Modelling
journal homepage: ate/ecmod
Business cycle, interest rate and money in the euro area: mon
factor model
José Luis Cendejas a,1,ñedab,2, Félix-Fernando Muñoz c,⁎
a Instituto de Investigaciones Económicas y Sociales Francisco de Vitoria, Ctra. Pozuelo-Majadahonda Km. , Pozuelo de Alarcón, 28223 Madrid, Spain
b Economics and International Studies Department, The University of Buckingham, Hunter Street Campus, Buckingham MK18 1EG, UK
c Departamento de Análisis Económico: Teoría Económica e Historia Económica, Universidad Autónoma de Madrid, C/ Francisco Tomás y Valiente 5, 28049 Madrid, Spain
article info abstract
Article history: In this paper we model and analyze the contemporaneous correlation between interest rate, ary aggre-
Accepted 14 August 2014 gates, production and prices (of consumer goods, financial assets and real estate) of the euro area. To do this, first-
Available online 7 September 2014 ly we estimate mon cyclical factor by means of an ponent model with mon factor
located in variations in the underlying growth rates, that is, accelerations and decelerations of the variables. The
Keywords:
variables mentioned share a significant cyclical factor being all procyclical except for narrow money. Finally we
Common cyclical factor
offer an