Changes in International Business Cycle Affiliations
AbstractWe investigate changes in international business cycle affiliations using an iterative procedure for detecting system-wide structural breaks. We analyze GDP growth rates in two systems, one with the US, Euro-area, UK and Canada and the other for the Euro-area countries of France, Germany and Italy. We discover that international dynamic interactions change in both the mid-1980s and early 1990s, with such changes being particularly important for studying influences on the aggregate Euro-area. However, contemporaneous (conditional) correlations between these Euro-area countries increase in 1984 and 1998, with a large increase in correlations also evident across the international system during the 1990s.
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Bibliographic InfoPaper provided by Economics, The Univeristy of Manchester in its series Centre for Growth and Business Cycle Research Discussion Paper Series with number 132.
Length: 36 pages
Date of creation: 2009
Date of revision:
Other versions of this item:
- Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2009. "Changes in International Business Cycle Affiliations," The School of Economics Discussion Paper Series 0924, Economics, The University of Manchester.
- NEP-ALL-2009-12-11 (All new papers)
- NEP-CBA-2009-12-11 (Central Banking)
- NEP-EEC-2009-12-11 (European Economics)
- NEP-MAC-2009-12-11 (Macroeconomics)
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