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The synchronization of GDP growth in the G7 during US recessions

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  • Nikolaos Antonakakis
  • Johann Scharler

Abstract

Using the Dynamic Conditional Correlation (DCC) model due to Engle (2002), we estimate time-varying correlations of quarterly real GDP growth among the G7 countries. In general, we find that rather heterogeneous patterns of international synchronization exist during US recessions. During the 2007--2009 recession, however, international co-movement increased substantially.

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File URL: http://hdl.handle.net/10.1080/13504851.2011.564126
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 19 (2012)
Issue (Month): 1 (January)
Pages: 7-11

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Handle: RePEc:taf:apeclt:v:19:y:2012:i:1:p:7-11

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Cited by:
  1. Nikolaos Antonakakis & Harald Badinger, 2012. "Output Volatility, Economic Growth, and Cross-Country Spillovers: New Evidence for the G7 Countries," FIW Working Paper series 098, FIW.
  2. Nikolaos Antonakakis, 2012. "The Great Synchronization of International Trade Collapse," Department of Economics Working Papers wuwp142, Vienna University of Economics, Department of Economics.
  3. Antonakakis, Nikolaos, 2012. "Business cycle synchronization during US recessions since the beginning of the 1870's," MPRA Paper 38341, University Library of Munich, Germany.
  4. Antonakakis, Nikolaos & Vergos, Konstantinos, 2013. "Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 258-272.
  5. 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.
  6. Trancoso, Tiago, 2014. "Emerging markets in the global economic network: Real(ly) decoupling?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 499-510.

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