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Business cycle synchronization during US recessions since the beginning of the 1870s

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  • Antonakakis, Nikolaos

Abstract

This paper examines the synchronization of business cycles across the G7 countries during US recessions since the 1870s. Using a dynamic measure of correlations, results depend on the globalization period under consideration. During the 2007–2009 recession, business cycles co-movements increased to unprecedented levels.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 117 (2012)
Issue (Month): 2 ()
Pages: 467-472

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Handle: RePEc:eee:ecolet:v:117:y:2012:i:2:p:467-472

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Dynamic conditional correlation; Business cycles synchronization; Recession; Globalization;

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References

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  1. Kose, M. Ayhan & Prasad, Eswar & Terrones, Marco E., 2003. "How Does Globalization Affect the Synchronization of Business Cycles?," IZA Discussion Papers 702, Institute for the Study of Labor (IZA).
  2. Marco Terrones & M. Ayhan Kose & Stijn Claessens, 2008. "What Happens During Recessions, Crunches, and Busts?," IMF Working Papers 08/274, International Monetary Fund.
  3. Nikolaos Antonakakis & Johann Scharler, 2012. "The synchronization of GDP growth in the G7 during US recessions," Applied Economics Letters, Taylor & Francis Journals, vol. 19(1), pages 7-11, January.
  4. Yetman, James, 2011. "Exporting recessions: International links and the business cycle," Economics Letters, Elsevier, vol. 110(1), pages 12-14, January.
  5. Artis, Michael J & Chouliarakis, George & Harischandra, PKG, 2011. "Business Cycle Synchronization Since 1880," CEPR Discussion Papers 8347, C.E.P.R. Discussion Papers.
  6. Michael Artis & George Chouliarakis & P. K. G. Harischandra, 2011. "Business Cycle Synchronization Since 1880," Manchester School, University of Manchester, vol. 79(2), pages 173-207, 03.
  7. Nikolaos Antonakakis & Johann Scharler, 2010. "The Synchronization of GDP Growth in the G7 during U.S. Recessions. Is this Time Different?," FIW Working Paper series 049, FIW.
  8. Mendoza, Enrique G. & Quadrini, Vincenzo, 2010. "Financial globalization, financial crises and contagion," Journal of Monetary Economics, Elsevier, vol. 57(1), pages 24-39, January.
  9. James H. Stock & Mark W. Watson, 2003. "Understanding Changes in International Business Cycle Dynamics," NBER Working Papers 9859, National Bureau of Economic Research, Inc.
  10. Glenn Otto & Graham Voss & Luke Willard, 2001. "Understanding OECD Output Correlations," RBA Research Discussion Papers rdp2001-05, Reserve Bank of Australia.
  11. M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2005. "Understanding the Evolution of World Business Cycles," IMF Working Papers 05/211, International Monetary Fund.
  12. Jean Imbs, 2003. "Trade, Finance, Specialization, and Synchronization," IMF Working Papers 03/81, International Monetary Fund.
  13. Mario J. Crucini & M. Ayhan Kose & Christopher Otrok, 2008. "What Are the Driving Forces of International Business Cycles?," Vanderbilt University Department of Economics Working Papers 0815, Vanderbilt University Department of Economics.
  14. Imbs, Jean, 2010. "The First Global Recession in Decades," CEPR Discussion Papers 7973, C.E.P.R. Discussion Papers.
  15. Brian M. Doyle & Jon Faust, 2003. "Breaks in the variability and co-movement of G-7 economic growth," International Finance Discussion Papers 786, Board of Governors of the Federal Reserve System (U.S.).
  16. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-50, July.
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Citations

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Cited by:
  1. Antonakakis, Nikolaos & Vergos, Konstantinos, 2012. "Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis," MPRA Paper 43284, University Library of Munich, Germany.
  2. Svatopluk Kapounek & Jitka Pomenkova, 2012. "The Endogeneity of Optimum Currency Areas Criteria in the Context of Financial Crisis: Evidence from Time-Frequency Domain Analysis," MENDELU Working Papers in Business and Economics 2012-31, Mendel University in Brno, Faculty of Business and Economics.
  3. Lillie Lam & James Yetman, 2013. "Asia’s decoupling: fact, forecast or fiction?," BIS Working Papers 438, Bank for International Settlements.
  4. Tiago Trancoso, 2013. "Global macroeconomic interdependence: a minimum spanning tree approach," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 5(1), pages 179-189, June.
  5. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2013. "Dynamic co-movements of stock market returns, implied volatility and policy uncertainty," Economics Letters, Elsevier, vol. 120(1), pages 87-92.

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