Business cycle synchronization and the Euro: A wavelet analysis
AbstractWe use wavelet analysis to study business cycle synchronization across the EU-15 and the Euro-12 countries. Based on the wavelet transform, we propose a metric to measure and test for business cycles synchronization. Several conclusions emerge. France and Germany form the core of the Euro land, being the most synchronized countries with the rest of Europe. Portugal, Greece, Ireland and Finland do not show statistically relevant degrees of synchronization with Europe. We also show that some countries (like Spain) have a French accent, while others have a German accent (e.g., Austria). Perhaps surprisingly, we find that the French business cycle has been leading the German business cycle as well as the rest of Europe. Among the countries that may, in the future, join the Euro, the Czech Republic seems the most promising candidate.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Macroeconomics.
Volume (Year): 33 (2011)
Issue (Month): 3 (September)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/622617
Business cycle synchronization European Union integration Continuous wavelet transform Wavelet distance matrix Multidimensional scaling;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jean Imbs, 2004.
"Trade, Finance, Specialization, and Synchronization,"
The Review of Economics and Statistics,
MIT Press, vol. 86(3), pages 723-734, August.
- Jean Imbs, 2003. "Trade, Finance, Specialization, and Synchronization," IMF Working Papers 03/81, International Monetary Fund.
- Imbs, Jean, 2003. "Trade, Finance, Specialization and Synchronization," CEPR Discussion Papers 3779, C.E.P.R. Discussion Papers.
- Camacho, Maximo & Pérez-Quirós, Gabriel & Sáiz Matute, Lorena, 2005.
"Are European Business Cycles Close Enough to be Just One?,"
CEPR Discussion Papers
4824, C.E.P.R. Discussion Papers.
- Camacho, Maximo & Perez-Quiros, Gabriel & Saiz, Lorena, 2006. "Are European business cycles close enough to be just one?," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1687-1706.
- Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2004. "Are european business cycles close enough to be just one?," Banco de Espaï¿½a Working Papers 0408, Banco de Espa�a.
- Maximo Camacho & Gabriel Perez-Quiros, 2004. "Are European business cycles close enough to be just one?," Computing in Economics and Finance 2004 16, Society for Computational Economics.
- Todd E. Clark & Eric van Wincoop, 1999.
"Borders and business cycles,"
Research Working Paper
99-07, Federal Reserve Bank of Kansas City.
- Rua, António, 2010.
"Measuring comovement in the time-frequency space,"
Journal of Macroeconomics,
Elsevier, vol. 32(2), pages 685-691, June.
- Artis, M. & Krolzig, H.-M. & Toro, J., 1999.
"The European Business Cycle,"
Economics Working Papers
eco99/24, European University Institute.
- Mike Artis & Hans-Martin Krolzig & Juan Toro, 2002. "The European Business Cycle," Economic Working Papers at Centro de Estudios Andaluces E2002/19, Centro de Estudios Andaluces.
- Artis, Michael J & Krolzig, Hans-Martin & Toro, Juan, 1999. "The European Business Cycle," CEPR Discussion Papers 2242, C.E.P.R. Discussion Papers.
- Frankel, Jeffrey A & Rose, Andrew K, 1996.
"The Endogeneity of the Optimum Currency Area Criteria,"
CEPR Discussion Papers
1473, C.E.P.R. Discussion Papers.
- Frankel, Jeffrey A & Rose, Andrew K, 1998. "The Endogeneity of the Optimum Currency Area Criteria," Economic Journal, Royal Economic Society, vol. 108(449), pages 1009-25, July.
- Jeffrey A. Frankel & Andrew K. Rose, 1996. "The Endogeneity of the Optimum Currency Area Criteria," NBER Working Papers 5700, National Bureau of Economic Research, Inc.
- Mario Forni & Marc Hallin & Lucrezia Reichlin & Marco Lippi, 2000.
"The generalised dynamic factor model: identification and estimation,"
ULB Institutional Repository
2013/10143, ULB -- Universite Libre de Bruxelles.
- Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
- Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 1999. "The Generalized Dynamic Factor Model: Identification and Estimation," CEPR Discussion Papers 2338, C.E.P.R. Discussion Papers.
- Luís Francisco Aguiar & Maria Joana Soares, 2010. "The Continuous Wavelet Transform: A Primer," NIPE Working Papers 23/2010, NIPE - Universidade do Minho.
- Marianne Baxter & Michael Kouparitsas, 2004.
"Determinants of business cycle comovement: a robust analysis,"
Working Paper Series
WP-04-14, Federal Reserve Bank of Chicago.
- Baxter, Marianne & Kouparitsas, Michael A., 2005. "Determinants of business cycle comovement: a robust analysis," Journal of Monetary Economics, Elsevier, vol. 52(1), pages 113-157, January.
- Marianne Baxter & Michael A. Kouparitsas, 2004. "Determinants of Business Cycle Comovement: A Robust Analysis," NBER Working Papers 10725, National Bureau of Economic Research, Inc.
- Sharif Md. Raihan & Yi Wen & Bing Zeng, 2005. "Wavelet: a new tool for business cycle analysis," Working Papers 2005-050, Federal Reserve Bank of St. Louis.
- Engel, Charles M & Rose, Andrew K, 2001.
"Currency Unions and International Integration,"
CEPR Discussion Papers
2659, C.E.P.R. Discussion Papers.
- Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2005.
"Do european business cycles look like one?,"
Banco de Espaï¿½a Working Papers
0518, Banco de Espa�a.
- Robert Inklaar & Richard Jong-A-Pin & Jakob de Haan, 2005.
"Trade and Business Cycle Synchronization in OECD Countries - a Re-examination,"
CESifo Working Paper Series
1546, CESifo Group Munich.
- Inklaar, Robert & Jong-A-Pin, Richard & de Haan, Jakob, 2008. "Trade and business cycle synchronization in OECD countries--A re-examination," European Economic Review, Elsevier, vol. 52(4), pages 646-666, May.
- Patrick M. Crowley & David G. Mayes, 2008. "How fused is the euro area core?: An evaluation of growth cycle co-movement and synchronization using wavelet analysis," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2008(1), pages 63-95.
- Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.