Business Cycle Affiliations in the Context of European Integration
AbstractWe study affiliations for the countries of the European Economic and Monetary Union (EMU) with Germany and the US, using various business cycle measures derived from quarterly real GDP. These measures are Hodrick-Prescott and Baxter-King filtered series, together with annual and quarterly growth rates. Using rolling contemporaneous and maximum (over a short lead/lag interval) correlations, we document increasing correlations of EMU countries with Germany, with these typically being largest during the 1990s. We also document a strong leading role for the US in relation to these countries in the period since 1993, thereby correcting the fallacy that the European business cycle was disjoint from the US for most of 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 29.
Length: 32 pages
Date of creation: 2003
Date of revision:
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Postal: Manchester M13 9PL
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Web page: http://www.socialsciences.manchester.ac.uk/subjects/economics/our-research/centre-for-growth-and-business-cycle-research/
More information through EDIRC
EMU; European integration; international business cycles;
Other versions of this item:
- Pedro Perez & Denise Osborn & Marianne Sensier, 2007. "Business cycle affiliations in the context of European integration," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 199-214.
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.:
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- Laopodis, Nikiforos T, 2002. "Volatility Linkages among Interest Rates: Implications for Global Monetary Policy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 215-33, July.
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