IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v40y2004i6p7-27.html
   My bibliography  Save this article

Business Cycles and Comovement in Mediterranean Economies : A National and Areawide Perspective

Author

Listed:
  • BERND SÜSSMUTH
  • ULRICH WOITEK

Abstract

This paper analyzes business cycle characteristics for a sample of eleven European, Middle East, and North African (MENA) economies in the Mediterranean region. Our frequency domain approach allows for the estimation of time-dependent spectral measures for different ranges of potential cycle length. To address the issue of synchronization, we decompose the variance for different frequency bands into an explained and an unexplained part and distinguish between in-phase and out-of-phase movements. By plotting our measures against time, we analyze changes in the similarity of the business cycle structure, as well as changes in comovement. We find (1) differences of business cycles across, and (2) changes of comovement over, the observation period between the European economies, on one hand, and the MENA economies, on the other.

Suggested Citation

  • Bernd Süssmuth & Ulrich Woitek, 2004. "Business Cycles and Comovement in Mediterranean Economies : A National and Areawide Perspective," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 40(6), pages 7-27, November.
  • Handle: RePEc:mes:emfitr:v:40:y:2004:i:6:p:7-27
    as

    Download full text from publisher

    File URL: http://mesharpe.metapress.com/link.asp?target=contribution&id=VPY7YJB0B6GTYY5N
    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. Frankel, Jeffrey A & Rose, Andrew K, 1998. "The Endogeneity of the Optimum Currency Area Criteria," Economic Journal, Royal Economic Society, vol. 108(449), pages 1009-1025, July.
    2. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
    3. Anderson, Heather M. & Ramsey, James B., 2002. "U.S. and Canadian industrial production indices as coupled oscillators," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 33-67, January.
    4. Artis, Michael J & Zhang, Wenda, 1999. "Further Evidence on the International Business Cycle and the ERM: Is There a European Business Cycle?," Oxford Economic Papers, Oxford University Press, vol. 51(1), pages 120-132, January.
    5. den Haan, Wouter J. & Sumner, Steven W., 2004. "The comovement between real activity and prices in the G7," European Economic Review, Elsevier, vol. 48(6), pages 1333-1347, December.
    6. Inklaar, Robert & de Haan, Jakob, 2001. "Is There Really a European Business Cycle? A Comment," Oxford Economic Papers, Oxford University Press, vol. 53(2), pages 215-220, April.
    7. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, May.
    8. Morten O. Ravn & Harald Uhlig, 2002. "On adjusting the Hodrick-Prescott filter for the frequency of observations," The Review of Economics and Statistics, MIT Press, vol. 84(2), pages 371-375.
    9. Christiano, Lawrence J., 1988. "Why does inventory investment fluctuate so much?," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 247-280.
    10. Selover, David D. & Jensen, Roderick V., 1999. "'Mode-locking' and international business cycle transmission," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 591-618, February.
    11. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
    12. A'Hearn, Brian & Woitek, Ulrich, 2001. "More international evidence on the historical properties of business cycles," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 321-346, April.
    13. Jakob de Haan & Robert Inklaar & Olaf Sleijpen, 2002. "Have Business Cycles Become More Synchronized?," Journal of Common Market Studies, Wiley Blackwell, vol. 40(1), pages 23-42, March.
    14. den Haan, Wouter J. & SUMNER, STEVEN W, 2001. "The Comovements Between Real Activity and Prices," University of California at San Diego, Economics Working Paper Series qt8c23205t, Department of Economics, UC San Diego.
    15. Christophe Croux & Mario Forni & Lucrezia Reichlin, 2001. "A Measure Of Comovement For Economic Variables: Theory And Empirics," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 232-241, May.
    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. Sahar Bahmani, 2008. "Stability of the Demand for Money in the Middle East," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(1), pages 62-83, January.
    2. Lemmens, A. & Croux, C. & Dekimpe, M.G., 2007. "Consumer confidence in Europe : United in diversity," Other publications TiSEM ea8c3268-2c0b-4fcc-9d4a-6, Tilburg University, School of Economics and Management.
    3. Sahar Bahmani, 2008. "Stability of the Demand for Money in the Middle East," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(1), pages 62-83, January.
    4. repec:voj:journl:v:64:y:2017:i:3:p:337-352 is not listed on IDEAS

    More about this item

    Keywords

    business cycles; comovement; stylized facts;

    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:mes:emfitr:v:40:y:2004:i:6:p:7-27. 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: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/MREE20 .

    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.