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A Closer Look at the World Business Cycle Synchronization

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  • Pedro André Cerqueira

    ()
    (GEMF/Faculdade de Economia, Universidade de Coimbra, Portugal)

Abstract

This paper uses a transformation of the period-by-period index proposed by Cerqueira and Martins(2009), to overcome some of it shortcomings, in a non-parametric estimation to analyze how business cycle synchronization for a sample of 111 countries evolved in the period 1960-2007 . The period-by-period index is able to distinguish between negative correlations due to episodes in single years, asynchronous behavior in turbulent times and synchronous behavior over stable periods and the non-parametric approach provides a more detailed analysis than the use of a parametric approach. The results show that since the nineties the synchronization at the world level, within and between country groups, experienced a dramatic increase reaching the highest values ever at the sample end.

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File URL: http://gemf.fe.uc.pt/workingpapers/pdf/2010/gemf_2010-21.pdf
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File URL: http://gemf.fe.uc.pt/workingpapers/pdf/2010/gemf_2010-21_v2.pdf
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Bibliographic Info

Paper provided by GEMF - Faculdade de Economia, Universidade de Coimbra in its series GEMF Working Papers with number 2010-21.

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Length: 25 pages
Date of creation: Sep 2010
Date of revision: May 2012
Publication status: Published in International Economics and Economic Policy 10(3): 349-363, 2013.
Handle: RePEc:gmf:wpaper:2010-21

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Keywords: Globalization; Business cycle synchronization; Convergence;

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References

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  1. Jonathan Heathcote & Fabrizio Perri, 2003. "Why Has the U.S. Economy Become Less Correlated with the Rest of the World?," American Economic Review, American Economic Association, vol. 93(2), pages 63-69, May.
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  11. Todd E. Clark & Eric van Wincoop, 1999. "Borders and business cycles," Staff Reports 91, Federal Reserve Bank of New York.
  12. Heathcote, Jonathan & Perri, Fabrizio, 2001. "Financial Globalization and Real Regionalization," Working Papers 01-05, Duke University, Department of Economics.
  13. Robert Kollmann, 1996. "Incomplete asset markets and the cross-country consumption correlation puzzle," ULB Institutional Repository 2013/7640, ULB -- Universite Libre de Bruxelles.
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  15. Calvo, Guillermo A. & Mendoza, Enrique G., 2000. "Rational contagion and the globalization of securities markets," Journal of International Economics, Elsevier, vol. 51(1), pages 79-113, June.
  16. Cerqueira, Pedro André & Martins, Rodrigo, 2009. "Measuring the determinants of business cycle synchronization using a panel approach," Economics Letters, Elsevier, vol. 102(2), pages 106-108, February.
  17. Hidehiko Ichimura & Petra E. Todd, 2006. "Implementing Nonparametric and Semiparametric Estimators," CIRJE F-Series CIRJE-F-452, CIRJE, Faculty of Economics, University of Tokyo.
  18. Philip R. Lane & Gian-Maria Milesi-Ferretti, 2006. "The External Wealth of Nations Mark II," IMF Working Papers 06/69, International Monetary Fund.
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