Business Cycles Synchronization in East Asia: A Markov-Switching Approach
AbstractThis paper attempts to analyze the relationships between the ASEAN-5 countries’ business cycles. We examine the nature of business cycles correlation trying to disentangle between regional spillover effects (expansion and recession phases among the ASEAN-5 are correlated) and global spillovers where the business cycles of other countries (China, Japan and the US) play an important role in synchronizing the activity within the ASEAN-5. We employ a time-varying transition probability Markov switching framework in order to allow the degree of synchronization to fluctuate over time and across the phases of the business cycles. We provide evidence that the signals contained in some leading business cycles can impact the ASEAN-5 countries’ individual business cycles.
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.
Bibliographic InfoPaper provided by Aix-Marseille School of Economics, Marseille, France in its series AMSE Working Papers with number 1344.
Length: 26 pages
Date of creation: Sep 2013
Date of revision: Sep 2013
OCA; East Asia; Business Cycle Synchronization; Monetary Union; Markov-Switching.;
Other versions of this item:
- Gilles Dufrénot & Benjamin Keddad, 2013. "Business Cycles Synchronization in East Asia: A Markov-Switching Approach," Working Papers halshs-00861901, HAL.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
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.:
- Andrew J. Filardo & Stephen F. Gordon, 1993.
"Business cycle durations,"
Research Working Paper, Federal Reserve Bank of Kansas City
93-11, Federal Reserve Bank of Kansas City.
- Carsten Hefeker & Andreas Nabor, 2005. "China's role in East-Asian monetary integration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 10(2), pages 157-166.
- Yung Chul Park, 2010. "RMB Internationalization and Its Implications for Financial and Monetary Cooperation in East Asia," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 18(2), pages 1-21.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 357-84, March.
- Allegret, Jean-Pierre & Essaadi, Essahbi, 2011.
"Business cycles synchronization in East Asian economy: Evidences from time-varying coherence study,"
Economic Modelling, Elsevier,
Elsevier, vol. 28(1-2), pages 351-365, January.
- Allegret, Jean-Pierre & Essaadi, Essahbi, 2011. "Business cycles synchronization in East Asian economy: Evidences from time-varying coherence study," Economic Modelling, Elsevier, Elsevier, vol. 28(1), pages 351-365.
- Filardo, Andrew J, 1994.
"Business-Cycle Phases and Their Transitional Dynamics,"
Journal of Business & Economic Statistics, American Statistical Association,
American Statistical Association, vol. 12(3), pages 299-308, July.
- Tom Doan, . "RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching," Statistical Software Components RTZ00059, Boston College Department of Economics.
- Lee, Grace H.Y. & Koh, Sharon G.M., 2012. "The prospects of a monetary union in East Asia," Economic Modelling, Elsevier, Elsevier, vol. 29(2), pages 96-102.
- Plummer, Michael G., 2006. "ASEAN-EU economic relationship: Integration and lessons for the ASEAN economic community," Journal of Asian Economics, Elsevier, Elsevier, vol. 17(3), pages 427-447, June.
- Kim, Chang-Jin & Piger, Jeremy & Startz, Richard, 2008.
"Estimation of Markov regime-switching regression models with endogenous switching,"
Journal of Econometrics, Elsevier,
Elsevier, vol. 143(2), pages 263-273, April.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2004. "Estimation of Markov regime-switching regression models with endogenous switching," Working Papers, Federal Reserve Bank of St. Louis 2003-015, Federal Reserve Bank of St. Louis.
- Chow, Hwee Kwan & Kim, Yoonbai, 2003. "A common currency peg in East Asia? Perspectives from Western Europe," Journal of Macroeconomics, Elsevier, Elsevier, vol. 25(3), pages 331-350, September.
- Rana, Pradumna B., 2007. "Economic integration and synchronization of business cycles in East Asia," Journal of Asian Economics, Elsevier, Elsevier, vol. 18(5), pages 711-725, October.
- Grace H.Y. Lee & M. Azali, 2009.
"THE ENDOGENEITY OF THE OPTIMUM CURRENCY AREA CRITERIA IN EAST ASIa,"
Development Research Unit Working Paper Series, Monash University, Department of Economics
15-09, Monash University, Department of Economics.
- Lee, Grace H.Y. & Azali, M., 2010. "The endogeneity of the Optimum Currency Area criteria in East Asia," Economic Modelling, Elsevier, Elsevier, vol. 27(1), pages 165-170, January.
- Lee, Grace H.Y. & Azali, M., 2012.
"Is East Asia an optimum currency area?,"
Economic Modelling, Elsevier,
Elsevier, vol. 29(2), pages 87-95.
- Volz, Ulrich, 2006. "On the feasibility of a regional exchange rate system for East Asia: Lessons of the 1992/1993 EMS crisis," Journal of Asian Economics, Elsevier, Elsevier, vol. 17(6), pages 1107-1127, December.
- Maria Socorro Gochoco-Bautista, 2008. "Output Movements in East Asia: Is There a Regional Factor?," The World Economy, Wiley Blackwell, vol. 31(6), pages 738-762, 06.
- Moneta, Fabio & Rüffer, Rasmus, 2009. "Business cycle synchronisation in East Asia," Journal of Asian Economics, Elsevier, Elsevier, vol. 20(1), pages 1-12, January.
- John Williamson, 2005. "A Currency Basket for East Asia, Not Just China," Policy Briefs PB05-01, Peterson Institute for International Economics.
- Kiyotaka Sato & Zhaoyong Zhang, 2006. "Real Output Co-movements in East Asia: Any Evidence for a Monetary Union?," The World Economy, Wiley Blackwell, vol. 29(12), pages 1671-1689, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Yves Doazan).
If references are entirely missing, you can add them using this form.