Consumption smoothing at business cycle frequency ¤ Pedro André Cerqueira y March 28, 2005 A b st r act This paper tries to disentangle the strength of the several sources of consumption smoothing in a panel of countries. For that I used a factor model applied to data from 23 OECD countries. Thisapproach allow us to measure t he st rengt h of the di¤erent channel s of consumpti on smoot hing for the di¤erent countries rather than estimating an aggregate value for all . A t t he same t im e t hi s m et hod all ow us t o est imat e t he i mpor t ance of the world and national component of the businesscycle in the deviations from trend of output and consumption. K eywor ds: International risk sharing, Consumption smoothing, Business cycle synchronizat ion, B ayesian met hods, Fact or models JEL Classi…cation:C11, C33, E21, E32 ¤ I would like t o thank Christopher Ot rok for making his program available. T he usual disclaimer applies. y European University Inst itt ue and Faculty of Economics, University of Coimbra. e- mai l:pedro.cerqueira@iue.it 1