Financial Integration and International Transmission of Business Cycles: Evidence from Dynamic Correlations
AbstractWe 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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Bibliographic InfoPaper provided by Graduate School of Economics, Kobe University in its series Discussion Papers with number 1007.
Date of creation: Jun 2010
Date of revision:
Business Cycle; Transmission; Financial Integration; Dynamic Correlation;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- F15 - International Economics - - Trade - - - Economic Integration
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-06-26 (All new papers)
- NEP-BEC-2010-06-26 (Business Economics)
- NEP-CBA-2010-06-26 (Central Banking)
- NEP-MAC-2010-06-26 (Macroeconomics)
- NEP-OPM-2010-06-26 (Open Economy Macroeconomics)
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- N. Antonakakis & G. Tondl, 2014. "Does integration and economic policy coordination promote business cycle synchronization in the EU?," Empirica, Springer, vol. 41(3), pages 541-575, August.
- 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".
- 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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