The synchronization of GDP growth in the G7 during US recessions
Using the Dynamic Conditional Correlation (DCC) model due to Engle (2002), we estimate time-varying correlations of quarterly real GDP growth among the G7 countries. In general, we find that rather heterogeneous patterns of international synchronization exist during US recessions. During the 2007--2009 recession, however, international co-movement increased substantially.
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Volume (Year): 19 (2012)
Issue (Month): 1 (January)
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