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Business cycles synchronization in East Asia: A Markov-switching approach

Author

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  • Gilles Dufrénot

    (Centre de recherche de la Banque de France - Banque de France, CEPII - Centre d'Etudes Prospectives et d'Informations Internationales - Centre d'analyse stratégique, GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Benjamin Keddad

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper attempts to analyze the relationships between the ASEAN-5's business cycles. We examine the nature of business cycle synchronization trying to disentangle between intraregional and interregional synchronization by considering the important role of China, Japan and the US 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 across the phases of the business cycles. We provide evidence that the signals contained in some regional and global leading business cycles can impact the ASEAN-5's business cycles.

Suggested Citation

  • Gilles Dufrénot & Benjamin Keddad, 2014. "Business cycles synchronization in East Asia: A Markov-switching approach," Post-Print hal-01463108, HAL.
    • Handle: RePEc:hal:journl:hal-01463108
    DOI: 10.1016/j.econmod.2014.07.001
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    Cited by:

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    2. Hazem Krichene & Abhijit Chakraborty & Hiroyasu Inoue & Yoshi Fujiwara, 2017. "Business cycles’ correlation and systemic risk of the Japanese supplier-customer network," PLOS ONE, Public Library of Science, vol. 12(10), pages 1-22, October.
    3. Aloui, Chaker & Hkiri, Besma & Nguyen, Duc Khuong, 2016. "Real growth co-movements and business cycle synchronization in the GCC countries: Evidence from time-frequency analysis," Economic Modelling, Elsevier, vol. 52(PB), pages 322-331.
    4. Balcilar, Mehmet & Kutan, Ali M. & Yaya, Mehmet E., 2017. "Testing the dependency theory on small island economies: The case of Cyprus," Economic Modelling, Elsevier, vol. 61(C), pages 1-11.
    5. Berdiev, Aziz N. & Chang, Chun-Ping, 2015. "Business cycle synchronization in Asia-Pacific: New evidence from wavelet analysis," Journal of Asian Economics, Elsevier, vol. 37(C), pages 20-33.
    6. Valera, Harold Glenn A. & Holmes, Mark J. & Hassan, Gazi M., 2017. "How credible is inflation targeting in Asia? A quantile unit root perspective," Economic Modelling, Elsevier, vol. 60(C), pages 194-210.
    7. Keddad, Benjamin & Sato, Kiyotaka, 2022. "The influence of the renminbi and its macroeconomic determinants: A new Chinese monetary order in Asia?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    8. Berry A. Harahap & Pakasa Bary & Anggita Cinditya M. Kusuma, 2020. "The Determinants of Indonesia’s Business Cycle," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 215-235.
    9. Gandjon Fankem, Gislain Stéphane & Fouda Mbesa, Lucien Cédric, 2023. "Business cycle synchronization and African monetary union: A wavelet analysis," Journal of Macroeconomics, Elsevier, vol. 77(C).
    10. Michał Bernardelli & Monika Dędys, 2015. "Markov switching models in the analysis of business cycle synchronization," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 39, pages 213-228.
    11. Gadea-Rivas, María Dolores & Gómez-Loscos, Ana & Leiva-Leon, Danilo, 2019. "Increasing linkages among European regions. The role of sectoral composition," Economic Modelling, Elsevier, vol. 80(C), pages 222-243.
    12. Egan, Paul & McQuinn, Kieran, 2023. "Regime switching and the responsiveness of prices to supply: The case of the Irish housing market," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 82-94.
    13. Chrysostomos Stoforos & Stavros Degiannakis & Panagiotis Delis & George Filis & Theodosios Palaskas, 2024. "Business Cycles Synchronization: Literature Review," Journal of Economic Analysis, Anser Press, vol. 3(4), pages 222-249, December.
    14. Degiannakis, Stavros & Duffy, David & Filis, George & Livada, Alexandra, 2016. "Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer?," Economic Modelling, Elsevier, vol. 52(PB), pages 551-563.
    15. Victor Pontines & Davaajargal Luvsannyam & Khuslen Batmunkh & Tsolmon Otgonbat, 2023. "The dynamics of business cycle connectedness and the decoupling of Asia‐Pacific," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1667-1692, April.
    16. Harold Glenn A. Valera & Mark J. Holmes & Gazi M. Hassan, 2018. "Is inflation targeting credible in Asia? A panel GARCH approach," Empirical Economics, Springer, vol. 54(2), pages 523-546, March.
    17. Dalibor Stevanovic & Stéphane Surprenant & Rachidi Kotchoni, 2019. "Identification des points de retournement du cycle économique au Canada," CIRANO Project Reports 2019rp-05, CIRANO.

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    More about this item

    Keywords

    Business cycles synchronization; East Asia; Markov-switching; Monetary union; OCA;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space 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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