Advanced Search
MyIDEAS: Login to save this article or follow this journal

Business cycle synchronization according to wavelets – the case of Poland and the euro zone member countries

Contents:

Author Info

  • Joanna Bruzda

    ()
    (Nicolaus Copernicus University, Department of Logistics)

Abstract

In the paper time-frequency analysis in the form of the maximal overlap discrete wavelet transform (MODWT) and its complex variant – the maximal overlap discrete Hilbert wavelet transform (MODHWT) is applied to study changing patterns of business cycle synchronization between Poland and 8 euro zone member countries (France, Germany, Greece, Ireland, Italy, the Netherlands, Portugal and Spain). We also touch upon the endogeneity hypothesis of the optimum currency area criteria and ask about the recent changes in business cycle variability and their influence on the level of synchronization. Wavelet analysis is a very convenient way of studying business cycles as it possesses good localization properties and is highly efficient in extracting time- -varying frequency content of time series. In the paper we make use of these properties and provide a detailed characterization of the degree of business cycle synchronization among the countries under study as well as of the changing amplitudes of business cycles which are measured here as the appropriate frequency components of industrial production indices. In the examination we apply wavelet analysis of variance, wavelet correlation and cross-correlation examination as well as wavelet coherence and wavelet phase angle analysis in their global and (or) local (short-term) versions. The empirical examination points at an increasing synchronization of the Polish business cycle with the euro zone cycles as well as a fairly stable level of business cycle synchronization among the euro zone countries themselves.

Download Info

If 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.
File URL: http://www.bankikredyt.nbp.pl/content/2011/03/bik_03_2011_01_art.pdf
Download Restriction: no

Bibliographic Info

Article provided by National Bank of Poland, Economic Institute in its journal Bank i Kredyt.

Volume (Year): 42 (2011)
Issue (Month): 3 ()
Pages: 5-32

as in new window
Handle: RePEc:nbp:nbpbik:v:42:y:2011:i:3:p:5-32

Contact details of provider:
Postal: 00-919 Warszawa ul. Świętokrzyska 11/21
Phone: (0-22) 653 10 00
Fax: (0-22) 620 85 18
Web page: http://www.bankikredyt.nbp.pl/menu_en.aspx
More information through EDIRC

Related research

Keywords: business cycle synchronization; euro zone; wavelet analysis; maximal overlap discrete wavelet transform; Hilbert wavelet pairs;

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. Fidrmuc, Jarko & Korhonen, Iikka, 2006. "Meta-analysis of the business cycle correlation between the euro area and the CEECs," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 518-537, September.
  2. Haan, Jakob de & Inklaar, Robert & Jong-A-Pin, Richard, 2005. "Will business cycles in the Euro Area converge : a critical survey of empirical research," CCSO Working Papers 200508, University of Groningen, CCSO Centre for Economic Research.
  3. Zsolt Darvas & György Szapáry, 2006. "Business Cycle Synchronization in the Enlarged EU," Working Papers 0604, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
  4. Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Working Papers 02-3, Bank of Canada.
  5. Crowley , Patrick & Maraun , Douglas & Mayes , David, 2006. "How hard is the euro are core? An evaluation of growth cycles using wavelet analysis," Research Discussion Papers 18/2006, Bank of Finland.
  6. Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2010. "Business cycle synchronization of the euro area with the new and negotiating member countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 288-306.
  7. Yogo, Motohiro, 2008. "Measuring business cycles: A wavelet analysis of economic time series," Economics Letters, Elsevier, vol. 100(2), pages 208-212, August.
  8. Bruzda, Joanna, 2011. "On some problems in discrete wavelet analysis of bivariate spectra with an application to business cycle synchronization in the euro zone," Economics Discussion Papers 2011-5, Kiel Institute for the World Economy.
  9. Crowley , Patrick & Lee , Jim, 2005. "Decomposing the co-movement of the business cycle: a time-frequency analysis of growth cycles in the euro area," Research Discussion Papers 12/2005, Bank of Finland.
  10. Ramsey James B., 2002. "Wavelets in Economics and Finance: Past and Future," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 1-29, November.
  11. Andrew Hughes Hallett & Christian R. Richter, 2007. "Time Varying Cyclical Analysis for Economies in Transition," CASE Network Studies and Analyses 0334, CASE-Center for Social and Economic Research.
  12. Gallegati Marco & Gallegati Mauro, 2007. "Wavelet Variance Analysis of Output in G-7 Countries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(3), pages 1-25, September.
  13. Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists ," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, 04.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Aleksandra Parteka, 2013. "The Evolving Structure Of Polish Exports (1994-2010) – Diversification Of Products And Trade Partners," GUT FME Working Paper Series A 10, Faculty of Management and Economics, Gdansk University of Technology.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:nbp:nbpbik:v:42:y:2011:i:3:p:5-32. See general 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: (Sylwia Roszkowska).

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.