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Business Cycles Synchronization in East Asia: A Markov-Switching Approach

  • Gilles Dufrénot

    ()

    (Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS)

  • Benjamin Keddad

    ()

    (Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS)

This paper attempts to analyze the relationships between the ASEAN-5 countries’ business cycles. We examine the nature of business cycles correlation trying to disentangle between regional spillover effects (expansion and recession phases among the ASEAN-5 are correlated) and global spillovers where the business cycles of other countries (China, Japan and the US) play an important role in synchronizing the activity within the ASEAN-5. We employ a time-varying transition probability Markov switching framework in order to allow the degree of synchronization to fluctuate over time and across the phases of the business cycles. We provide evidence that the signals contained in some leading business cycles can impact the ASEAN-5 countries’ individual business cycles.

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File URL: http://www.amse-aixmarseille.fr/sites/default/files/_dt/2012/wp_2013_-_nr_44.pdf
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Paper provided by Aix-Marseille School of Economics, Marseille, France in its series AMSE Working Papers with number 1344.

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Length: 26 pages
Date of creation: Sep 2013
Date of revision: Sep 2013
Handle: RePEc:aim:wpaimx:1344
Contact details of provider: Web page: http://www.amse-aixmarseille.fr/en

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  17. Eiji Ogawa & Junko Shimizu, 2006. "AMU Deviation Indicators for Coordinated Exchange Rate Policies in East Asia and their Relationships with Effective Exchange Rates," The World Economy, Wiley Blackwell, vol. 29(12), pages 1691-1708, December.
  18. Chow, Hwee Kwan & Kim, Yoonbai, 2003. "A common currency peg in East Asia? Perspectives from Western Europe," Journal of Macroeconomics, Elsevier, vol. 25(3), pages 331-350, September.
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  22. Grace H.Y. Lee & M. Azali, 2009. "THE ENDOGENEITY OF THE OPTIMUM CURRENCY AREA CRITERIA IN EAST ASIa," Monash Economics Working Papers 15-09, Monash University, Department of Economics.
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