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.
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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
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
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