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Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US

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  • Siem Jan Koopman
  • Jo�o Valle E Azevedo

Abstract

This paper investigates business cycle relations among different economies in the Euro area. Cyclical dynamics are explicitly modelled as part of a time series model. We introduce mechanisms that allow for increasing or diminishing phase shifts and for time-varying association patterns in different cycles. Standard Kalman filter techniques are used to estimate the parameters simultaneously by maximum likelihood. The empirical illustrations are based on gross domestic product (GDP) series of seven European countries that are compared with the GDP series of the Euro area and that of the US. The original integrated time series are band-pass filtered. We find that there is an increasing resemblance between the business cycle fluctuations of the European countries analysed and those of the Euro area, although with varying patterns. Copyright 2008 Blackwell Publishing Ltd and the Department of Economics, University of Oxford.

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Bibliographic Info

Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.

Volume (Year): 70 (2008)
Issue (Month): 1 (02)
Pages: 23-51

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Handle: RePEc:bla:obuest:v:70:y:2008:i:1:p:23-51

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Cited by:
  1. International Monetary Fund, 2009. "Decoupling From the East toward the West? Analyses of Spillovers to the Baltic Countries," IMF Working Papers 09/125, International Monetary Fund.
  2. Jesús Crespo-Cuaresma & Octavio Fernández-Amador, 2010. "Business cycle convergence in EMU: A first look at the second moment," FIW Working Paper series 054, FIW.
  3. Hideaki Hirata & M. Ayhan Kose & Christopher Otrok, 2013. "Regionalization vs. Globalization," CAMA Working Papers 2013-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  4. Emilio Espino & Julian Kozlowski & Juan M. Sánchez, 2013. "Regionalization vs. globalization," Working Papers 2013-002, Federal Reserve Bank of St. Louis.
  5. Chen, Xiaoshan & Kontonikas, Alexandros & Montagnoli, Alberto, 2012. "Asset Prices, Credit and the Business Cycle," Stirling Economics Discussion Papers 2012-04, University of Stirling, Division of Economics.
  6. Svatopluk Kapounek & Jitka Pomenkova, 2012. "Spurious synchronization of business cycles: Dynamic correlation analysis of V4 countries," MENDELU Working Papers in Business and Economics 2012-22, Mendel University in Brno, Faculty of Business and Economics.
  7. Samuel Bates & Cheikh Tidiane Ndiaye, 2014. "Economic Growth from a Structural Unobserved Component Modeling: The Case of Senegal," Economics Bulletin, AccessEcon, vol. 34(2), pages 951-965.
  8. Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2011. "Synchronization of Economic Sentiment Cycles in the Euro Area: a time-frequency analysis," CEF.UP Working Papers 1105, Universidade do Porto, Faculdade de Economia do Porto.
  9. Kingsley I. Obiora, 2010. "Do countries catch cold when trading partners sneeze? Evidence from spillovers in the Baltics," Financial Theory and Practice, Institute of Public Finance, vol. 34(2), pages 143-160.

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