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If the United States sneezes, does the world need “pain-killers”?

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  • Herrerias, M.J.
  • Ordóñez, J.

Abstract

In this paper we analyze the extent to which the US economy affects international business fluctuations across countries and we ask whether the nonlinear nature of the business cycle affects the degree of co-movement between countries. A multivariate nonlinear LSTAR model is estimated for the GDP cyclical components of China, France, Germany, the UK and the US. This nonlinear framework allows the asymmetries of the business cycle to be captured properly to identify the synchronization behavior across countries. Our results suggest that there is a relevant influence of the US cycle, specifically during recessions.

Suggested Citation

  • Herrerias, M.J. & Ordóñez, J., 2014. "If the United States sneezes, does the world need “pain-killers”?," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 159-170.
    • Handle: RePEc:eee:reveco:v:31:y:2014:i:c:p:159-170
    DOI: 10.1016/j.iref.2014.01.015
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    1. Berdiev, Aziz N. & Chang, Chun-Ping, 2015. "Business cycle synchronization in Asia-Pacific: New evidence from wavelet analysis," Journal of Asian Economics, Elsevier, vol. 37(C), pages 20-33.

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    More about this item

    Keywords

    Business cycle; Nonlinearities; Synchronization; Decoupling;
    All these keywords.

    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; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F15 - International Economics - - Trade - - - Economic Integration

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