Synchronization of Economic Sentiment Cycles in the Euro Area: a time-frequency analysis
AbstractWe use wavelet tools and Economic Sentiment Indicators to study the synchronization of economic cycles in the Euro Area. We assess the time-varying and frequency-varying pattern of business cycles synchronization in the Area and test the impact of the creation of the European Monetary Union in 1999. Among several results, we find that (a) the EMU is associated with a significant increase in synchronization of economic sentiment in the Euro Area; (b) the hard-peg of its currency to the Euro led to a comparable synchronization of Denmark's economic sentiment after 1999, differently from what happened in the case of the UK.
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Bibliographic InfoPaper provided by Universidade do Porto, Faculdade de Economia do Porto in its series CEF.UP Working Papers with number 1105.
Length: 25 pages
Date of creation: Oct 2011
Date of revision:
Business cycle synchronization; Economic sentiment; Euro Area; Continuous wavelet transform; Wavelet coherency; Wavelet distance; Phase-difference.;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
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