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Desynchronized

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  • Serhan Cevik

Abstract

This paper investigates the empirical characteristics of business cycles and the extent of cyclical comovement in the Gulf Cooperation Council (GCC) countries, using various measures of synchronization for non-hydrocarbon GDP and constituents of aggregate demand during the period 1990-2010. By applying the Christiano-Fitzgerald asymmetric band-pass filter and a mean corrected concordance index, the paper identifies the degree of non-hydrocarbon business cycle synchronization?one of the main prerequisites for countries considering to establish a monetary union. The empirical results show low and heterogeneous synchronization in non-hydrocarbon business cycles across the GCC economies, and a decline in the degree of synchronicity in the 2000s, if Kuwait is excluded from the sample, partly because of divergent fiscal policies.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 11/286.

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Length: 25
Date of creation: 01 Dec 2011
Date of revision:
Handle: RePEc:imf:imfwpa:11/286

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Keywords: Economic models; Hydrocarbons; business cycle; business cycles; correlation; correlations; business cycle synchronization; statistical significance; real gdp; private consumption; gdp growth; time series; statistic; statistics; autocorrelation; business cycle fluctuations; covariance; econometrics; measurement errors; logarithm; sample size; random walk; instrumental variable; growth cycles; standard errors;

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  1. Camacho, Maximo & Pérez-Quirós, Gabriel & Sáiz Matute, Lorena, 2005. "Are European Business Cycles Close Enough to be Just One?," CEPR Discussion Papers 4824, C.E.P.R. Discussion Papers.
  2. Raphael A. Espinoza & Oral Williams & Ananthakrishnan Prasad, 2010. "Regional Financial Integration in the GCC," IMF Working Papers 10/90, International Monetary Fund.
  3. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May.
  4. Mark Mink & Jan P.A.M. Jacobs & Jakob de Haan, 2012. "Measuring coherence of output gaps with an application to the euro area," Oxford Economic Papers, Oxford University Press, vol. 64(2), pages 217-236, April.
  5. Paul Cashin & C John McDermott & Alasdair Scott, 1999. "The myth of co-moving commodity prices," Reserve Bank of New Zealand Discussion Paper Series G99/9, Reserve Bank of New Zealand.
  6. Marianne Baxter & Michael Kouparitsas, 2004. "Determinants of business cycle comovement: a robust analysis," Working Paper Series WP-04-14, Federal Reserve Bank of Chicago.
  7. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
  8. Francisco Nadal-De Simone, 2002. "Common and Idiosyncratic Components in Real Output," IMF Working Papers 02/229, International Monetary Fund.
  9. Aguiar, Mark & Gopinath, Gita, 2007. "Emerging Market Business Cycles: The Cycle is the Trend," Scholarly Articles 11988098, Harvard University Department of Economics.
  10. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, June.
  11. Rand, John & Tarp, Finn, 2002. "Business Cycles in Developing Countries: Are They Different?," World Development, Elsevier, vol. 30(12), pages 2071-2088, December.
  12. Böwer, Uwe & Guillemineau, Catherine, 2006. "Determinants of business cycle synchronisation across euro area countries," Working Paper Series 0587, European Central Bank.
  13. repec:acb:camaaa:2007-19 is not listed on IDEAS
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Cited by:
  1. Serhan Cevik & Katerina Teksoz, 2013. "Lost In Transmission? The Effectiveness Of Monetary Policy Transmission Channels In The Gcc Countries," Middle East Development Journal (MEDJ), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1350018-1-1.

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