Advanced Search
MyIDEAS: Login to save this paper or follow this series

Business Cycles Synchronization in East Asia: A Markov-Switching Approach

Contents:

Author Info

  • Gilles Dufrénot

    ()
    (AMSE - Aix-Marseille School of Economics - Aix-Marseille Univ. - Centre national de la recherche scientifique (CNRS) - École des Hautes Études en Sciences Sociales [EHESS] - Ecole Centrale Marseille (ECM))

  • Benjamin Keddad

    ()
    (AMSE - Aix-Marseille School of Economics - Aix-Marseille Univ. - Centre national de la recherche scientifique (CNRS) - École des Hautes Études en Sciences Sociales [EHESS] - Ecole Centrale Marseille (ECM))

Abstract

This 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 Info

If 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.
File URL: http://halshs.archives-ouvertes.fr/docs/00/86/19/01/PDF/WP_2013_-_Nr_44.pdf
Download Restriction: no

Bibliographic Info

Paper provided by HAL in its series Working Papers with number halshs-00861901.

as in new window
Length:
Date of creation: Sep 2013
Date of revision:
Handle: RePEc:hal:wpaper:halshs-00861901

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00861901
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/

Related research

Keywords: OCA; East Asia; business cycle synchronization; monetary union; markov-switching;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
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.:
as in new window
  1. 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.
  2. John Williamson, 2005. "A Currency Basket for East Asia, Not Just China," Policy Briefs PB05-01, Peterson Institute for International Economics.
  3. 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.
  4. 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.
  5. Lee, Grace HY & M, Azali, 2010. "Is East Asia an optimum currency area?," MPRA Paper 52556, University Library of Munich, Germany.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. Moneta, Fabio & Rüffer, Rasmus, 2009. "Business cycle synchronisation in East Asia," Journal of Asian Economics, Elsevier, Elsevier, vol. 20(1), pages 1-12, January.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:halshs-00861901. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.