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Financial Integration and International Transmission of Business Cycles: Evidence from Dynamic Correlations

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Author Info

  • Jarko Fidrmuc

    ()
    (Austrian Central Bank, CESifo Munich, and Comenius University, Department of Applied Mathematics and Statistics, Bratislava)

  • Kentaro Iwatsubo

    ()
    (Graduate School of Economics, Kobe University)

  • Taro Ikeda

    (Graduate School of Economics, Kobe University)

Abstract

We estimate determinants of dynamic correlations of output comovement of OECD countries between 1990 and 2008. We show that trade intensity, degree of financial integration and specialization pattern have significantly different effects on comovements at different frequencies. This can bias the results using aggregate data or statistical filters. For example, financial integration is showed to have the highest positive effect for middle business frequencies, while it is insignificant for short-term frequencies.

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File URL: http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2010/1007.pdf
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Bibliographic Info

Paper provided by Graduate School of Economics, Kobe University in its series Discussion Papers with number 1007.

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Length: 9pages
Date of creation: Jun 2010
Date of revision:
Handle: RePEc:koe:wpaper:1007

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Web page: http://www.econ.kobe-u.ac.jp
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Related research

Keywords: Business Cycle; Transmission; Financial Integration; Dynamic Correlation;

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Cited by:
  1. Stefano Magrini & Margherita Gerolimetto & Hasan Engin Duran, 2011. "Understanding the lead/lag structure among regional business cycles," Working Papers 2011_06, Department of Economics, University of Venice "Ca' Foscari".
  2. Nikolaos Antonakakis & Gabriele Tondl, 2011. "Has Integration Promoted Business Cycle Synchronization in the Enlarged EU?," FIW Working Paper series 075, FIW.

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