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Measuring Synchronisation and Convergence of Business Cycles

Author

Listed:
  • Siem Jan Koopman

    (Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam)

  • Joao Valle e Azevedo

    (Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam)

Abstract

This discussion paper resulted in an article in the Oxford Bulletin of Economics and Statistics (2008). Vol. 70 issue 1, pages 23-51. This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series model. Weintroduce mechanisms that allow for increasing or diminishing phase shifts and for time-varyingassociation patterns in different cycles. Standard Kalman filter techniques are used toestimate the parameters simultaneously by maximum likelihood. The empirical illustrationsare based on gross domestic product (GDP) series of seven European countries which are comparedwith the GDP series of the Euro Area and that of the United States. The original integratedtime series are band-pass filtered. We find that there is an increasing resemblance between thebusiness cycle fluctuations of the European countries analysed and those of the Euro area,although with varying patterns.

Suggested Citation

  • Siem Jan Koopman & Joao Valle e Azevedo, 2003. "Measuring Synchronisation and Convergence of Business Cycles," Tinbergen Institute Discussion Papers 03-052/4, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:20030052
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    References listed on IDEAS

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    Cited by:

    1. Matthieu Lemoine, 2006. "Annex A5 : A model of the stochastic convergence between euro area business cycles," SciencePo Working papers Main hal-00972793, HAL.
    2. Ageliki Anagnostou & Ioannis Panteladis & Maria Tsiapa, 2015. "Disentangling different patterns of business cycle synchronicity in the EU regions," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 615-641, August.
    3. Philippe Moës, 2006. "The production function approach to the Belgian output gap, estimation of a multivariate structural time series model," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 49(1), pages 59-91.
    4. Marco Percoco, 2016. "Labour Market Institutions: Sensitivity to the Cycle and Impact of the Crisis in European Regions," Tijdschrift voor Economische en Sociale Geografie, Royal Dutch Geographical Society KNAG, vol. 107(3), pages 375-385, July.
    5. Jakob De Haan & Robert Inklaar & Richard Jong‐A‐Pin, 2008. "Will Business Cycles In The Euro Area Converge? A Critical Survey Of Empirical Research," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 234-273, April.
    6. repec:zbw:bofitp:2012_017 is not listed on IDEAS
    7. Hasan Engin Duran, 2015. "Dynamics of Business Cycle Synchronization within Turkey," Working Papers 2015/01, Turkish Economic Association.
    8. repec:hal:spmain:info:hdl:2441/1461 is not listed on IDEAS
    9. Bertrand Candelon & Jan Piplack & Stefan Straetmans, 2009. "Multivariate Business Cycle Synchronization in Small Samples," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 715-737, October.
    10. Matteo M. Pelagatti, 2005. "Business cycle and sector cycles," Econometrics 0503006, University Library of Munich, Germany.
    11. Beate Schirwitz & Christian Seiler & Klaus Wohlrabe, 2009. "Regional business cycles in Germany – convergence," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 62(15), pages 23-32, August.
    12. Hasan Engin Duran, 2015. "Dynamics of Business Cycle Synchronization in Turkey," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(5), pages 581-606, December.
    13. Matthieu Lemoine, 2005. "A model of the stochastic convergence between business cycles," Documents de Travail de l'OFCE 2005-05, Observatoire Francais des Conjonctures Economiques (OFCE).
    14. Siklos, Pierre L., 2012. "No coupling, no decoupling, only mutual inter-dependence : Business cycles in emerging vs. mature economies," BOFIT Discussion Papers 17/2012, Bank of Finland, Institute for Economies in Transition.

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    More about this item

    Keywords

    Band-pass filter; Cyclical convergence; Kalman filter; Unobserved components time series models; Phase shifts.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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