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Globalisation effect measure via hierarchical dynamic factor modelling

Author

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  • Agne Reklaite

    (Vilnius University)

Abstract

In this paper the issue of globalisation and deteriorating precision of domestically oriented frameworks is addressed. A hypothesis that the effect of international trends on the growth of economy is increasing over time is formed. In order to validate this a method of composing foreign series with local indicators in a hierarchical dynamic factor model is presented. The novelty of this approach is that globalisation effect is measured focusing on prediction rather than similarity. This way the measure presents country's sensitivity to global shocks and reveals how much focal country's economy is intertwined with global economy. The application was performed on Lithuanian data and the hypothesis was validated. The results indicate that globalisation effect has an increasing effect over time.

Suggested Citation

  • Agne Reklaite, 2015. "Globalisation effect measure via hierarchical dynamic factor modelling," Working Papers 91/2015, Institute of Economic Research, revised Apr 2015.
    • Handle: RePEc:pes:wpaper:2015:no91
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    Citations

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    Cited by:

    1. Shikha Gupta & Nand Kumar, 2022. "Globalization Versus Slowbalization: A Perspective on the Indian Economy," Journal of South Asian Development, , vol. 17(1), pages 84-107, April.
    2. Shikha Gupta & Nand Kumar, 2023. "Time varying dynamics of globalization effect in India," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 22(1), pages 81-97, January.
    3. Shikha Gupta & Nand Kumar, 2021. "Dynamics of globalization effect in India," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(6), pages 1394-1406, September.

    More about this item

    Keywords

    leading indicator; hierarchical dynamic factor model; globalisation; economic growth;
    All these keywords.

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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