Business Cycles and Comovement in Mediterranean Economies : A National and Areawide Perspective
AbstractThis paper analyzes business cycle characteristics for a sample of eleven European, Middle East, and North African (MENA) economies in the Mediterranean region. Our frequency domain approach allows for the estimation of time-dependent spectral measures for different ranges of potential cycle length. To address the issue of synchronization, we decompose the variance for different frequency bands into an explained and an unexplained part and distinguish between in-phase and out-of-phase movements. By plotting our measures against time, we analyze changes in the similarity of the business cycle structure, as well as changes in comovement. We find (1) differences of business cycles across, and (2) changes of comovement over, the observation period between the European economies, on one hand, and the MENA economies, on the other.
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Bibliographic InfoArticle provided by M.E. Sharpe, Inc. in its journal Emerging Markets Finance and Trade.
Volume (Year): 40 (2004)
Issue (Month): 6 (November)
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Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=111024
business cycles; comovement; stylized facts;
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