IDEAS home Printed from https://ideas.repec.org/a/bla/obuest/v70y2008i1p23-51.html
   My bibliography  Save this article

Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US

Author

Listed:
  • Siem Jan Koopman
  • João Valle E Azevedo

Abstract

This paper investigates business cycle relations among different economies in the Euro area. Cyclical dynamics are explicitly modelled as part of a time series model. We introduce mechanisms that allow for increasing or diminishing phase shifts and for time-varying association patterns in different cycles. Standard Kalman filter techniques are used to estimate the parameters simultaneously by maximum likelihood. The empirical illustrations are based on gross domestic product (GDP) series of seven European countries that are compared with the GDP series of the Euro area and that of the US. The original integrated time series are band-pass filtered. We find that there is an increasing resemblance between the business cycle fluctuations of the European countries analysed and those of the Euro area, although with varying patterns. Copyright 2008 Blackwell Publishing Ltd and the Department of Economics, University of Oxford.

Suggested Citation

  • Siem Jan Koopman & João Valle E Azevedo, 2008. "Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(1), pages 23-51, February.
  • Handle: RePEc:bla:obuest:v:70:y:2008:i:1:p:23-51
    as

    Download full text from publisher

    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0084.2007.00489.x
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Stock, James H. & Watson, Mark W., 1999. "Business cycle fluctuations in us macroeconomic time series," Handbook of Macroeconomics,in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64 Elsevier.
    2. Angeloni, Ignazio & Dedola, Luca, 1999. "From the ERM to the euro: new evidence on economic and policy convergence among EU countries," Working Paper Series 0004, European Central Bank.
    3. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178, June.
    4. Brian M. Doyle & Jon Faust, 2002. "An investigation of co-movements among the growth rates of the G-7 countries," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Oct, pages 427-437.
    5. Frederico Belo, 2001. "Some Facts About the Cyclical Convergence in the Euro Zone," Working Papers w200107, Banco de Portugal, Economics and Research Department.
    6. Frederico Belo, 2001. "Some Facts About the Cyclical Convergence in the Euro Zone," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
    7. Monfort, Alain & Renne, Jean-Paul & Rüffer, Rasmus & Vitale, Giovanni, 2003. "Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects," CEPR Discussion Papers 4119, C.E.P.R. Discussion Papers.
    8. Lucrezia Reichlin, 2005. "The Euro area business cycle: stylized facts and measurement issues," ULB Institutional Repository 2013/10173, ULB -- Universite Libre de Bruxelles.
    9. Fagan, Gabriel & Henry, Jérôme & Mestre, Ricardo, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 0042, European Central Bank.
    10. Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Rünstler, Gerhard & Vlekke, Marente, 2016. "Business, housing and credit cycles," Working Paper Series 1915, European Central Bank.
    2. Hasan Engin Duran, 2015. "Dynamics of Business Cycle Synchronization within Turkey," Working Papers 2015/01, Turkish Economic Association.
    3. Hasan Engin Duran & Alexandra Ferreira-Lopes, 2017. "Determinants of co-movement and of lead and lag behavior of business cycles in the Eurozone," International Review of Applied Economics, Taylor & Francis Journals, vol. 31(2), pages 255-282, March.
    4. Periklis Gogas, 2013. "Business cycle synchronisation in the European Union: The effect of the common currency," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(1), pages 1-14.
    5. 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.
    6. Crespo-Cuaresma, Jesús & Fernández-Amador, Octavio, 2013. "Business cycle convergence in EMU: A first look at the second moment," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 265-284.
    7. Samuel Bates & Cheikh Tidiane Ndiaye, 2014. "Economic Growth from a Structural Unobserved Component Modeling: The Case of Senegal," Economics Bulletin, AccessEcon, vol. 34(2), pages 951-965.
    8. Emilio Espino & Julian Kozlowski & Juan M. Sánchez, 2013. "Regionalization vs. globalization," Working Papers 2013-002, Federal Reserve Bank of St. Louis.
    9. Hideaki Hirata & M. Ayhan Kose & Chris Otrok, "undated". "Regionalization vs. Globalization," Working Paper 164456, Harvard University OpenScholar.
    10. Gabriele Galati & Irma Hindrayanto & Siem Jan Koopman & Marente Vlekke, 2016. "Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area," DNB Working Papers 495, Netherlands Central Bank, Research Department.
    11. repec:psc:journl:v:9:y:2017:i:3:p:201-241 is not listed on IDEAS
    12. William Miles, 2015. "Regional House Price Segmentation and Convergence in the US: A New Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 50(1), pages 113-128, January.
    13. William Miles, 2015. "The East African Monetary Union: Is the Level of Business Cycle Synchronization Sufficient?," Applied Economics and Finance, Redfame publishing, vol. 2(4), pages 115-125, November.
    14. Kingsley I. Obiora, 2010. "Do countries catch cold when trading partners sneeze? Evidence from spillovers in the Baltics," Financial Theory and Practice, Institute of Public Finance, vol. 34(2), pages 143-160.
    15. International Monetary Fund, 2009. "Decoupling from the East Toward the West? Analyses of Spillovers to the Baltic Countries," IMF Working Papers 09/125, International Monetary Fund.
    16. Svatopluk Kapounek & Jitka Pomenkova, 2012. "Spurious synchronization of business cycles: Dynamic correlation analysis of V4 countries," MENDELU Working Papers in Business and Economics 2012-22, Mendel University in Brno, Faculty of Business and Economics.
    17. Chen, Xiaoshan & Kontonikas, Alexandros & Montagnoli, Alberto, 2012. "Asset prices, credit and the business cycle," Economics Letters, Elsevier, vol. 117(3), pages 857-861.
    18. Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2010. "Business cycle synchronization of the euro area with the new and negotiating member countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 288-306.
    19. Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2011. "Synchronization of Economic Sentiment Cycles in the Euro Area: a time-frequency analysis," CEF.UP Working Papers 1105, Universidade do Porto, Faculdade de Economia do Porto.
    20. Ferrara, L. & Koopman, S J., 2010. "Common business and housing market cycles in the Euro area from a multivariate decomposition," Working papers 275, Banque de France.
    21. repec:eee:jhouse:v:36:y:2017:i:c:p:25-43 is not listed on IDEAS
    22. William Miles & Chu-Ping C. Vijverberg, 2014. "Did the Classical Gold Standard Lead to Greater Business Cycle Synchronization? Evidence from New Measures," Kyklos, Wiley Blackwell, vol. 67(1), pages 93-115, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:70:y:2008:i:1:p:23-51. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/sfeixuk.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.