Estimation Results for the G-7 Factor
Note: The first column reports the estimate G-7 factor loadings for each country factor. All estimates are highly significant. The second column shows the correlation between the smoothed G-7 factor and each country factor. For the last two columns, we regress the filtered G-7 factor on current and 12 monthly lags of standardized country factors. Panel (b) reports the coefficient on the contemporaneous country factors and panel (c) reports the sum of the coefficients for each country.
|Weights of Country Factors|
Correlation with G-7