Evaluation de la synchronisation des cycles économiques dans la zone euro

This paper offers an insight into the optimality of the European Economic and Monetary Union (EMU) and its common monetary policy by evaluating the degree of business cycle synchronisation among EMU member states. Business cycle turning points for each country are identified from multivariate coincident macroeconomic time-series using both parametric and non-parametric dating procedures. The degree of cycle synchronisation is illustrated using cycle distances over the whole sample and two subsamples. Rolling sample correlation coefficients of smoothed recession probabilities are also computed to provide a detailed picture of cycle evolution. Although the core EMU countries share more synchronised business cycles with the aggregate euro area than the other countries analysed, this may reflect the large weights they are assigned when constructing the aggregate euro area data. Overall, the results obtained go against the assertion proposed in the endogenous optimal currency area (OCA) theory that operating a monetary union will by itself increase business cycle synchronisation. Furthermore, variations in economic performance observed across the euro area may lead to diverging monetary policy requirements, and may consequently reduce the appropriateness of having a common monetary policy. To date there have been few studies measuring cycle synchronisation using cycles extracted from multivariate information. This paper contributes to this area.