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A Closer Look at the World Business Cycle Synchronization

  • Pedro André Cerqueira

    ()

    (GEMF/Faculdade de Economia, Universidade de Coimbra, Portugal)

This paper uses a transformation of the period-by-period index proposed by Cerqueira and Martins(2009), to overcome some of it shortcomings, in a non-parametric estimation to analyze how business cycle synchronization for a sample of 111 countries evolved in the period 1960-2007 . The period-by-period index is able to distinguish between negative correlations due to episodes in single years, asynchronous behavior in turbulent times and synchronous behavior over stable periods and the non-parametric approach provides a more detailed analysis than the use of a parametric approach. The results show that since the nineties the synchronization at the world level, within and between country groups, experienced a dramatic increase reaching the highest values ever at the sample end.

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File URL: http://gemf.fe.uc.pt/workingpapers/pdf/2010/gemf_2010-21.pdf
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File URL: http://gemf.fe.uc.pt/workingpapers/pdf/2010/gemf_2010-21_v2.pdf
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Paper provided by GEMF - Faculdade de Economia, Universidade de Coimbra in its series GEMF Working Papers with number 2010-21.

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Length: 25 pages
Date of creation: Sep 2010
Date of revision: May 2012
Publication status: Published in International Economics and Economic Policy 10(3): 349-363, 2013.
Handle: RePEc:gmf:wpaper:2010-21
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  1. Racine, Jeff, 1997. "Consistent Significance Testing for Nonparametric Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 369-78, July.
  2. Heathcote, Jonathan & Perri, Fabrizio, 2001. "Financial Globalization and Real Regionalization," Working Papers 01-05, Duke University, Department of Economics.
  3. Baxter, Marianne & Kouparitsas, Michael A., 2005. "Determinants of business cycle comovement: a robust analysis," Journal of Monetary Economics, Elsevier, vol. 52(1), pages 113-157, January.
  4. Ichimura, Hidehiko & Todd, Petra E., 2007. "Implementing Nonparametric and Semiparametric Estimators," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74 Elsevier.
  5. AMBLER, Steve & CARDIA, Emanuela & ZIMMERMANN, Christian, 2000. "International Transmission of the Business Cycle in a Multi-Sector Model," Cahiers de recherche 2000-06, Universite de Montreal, Departement de sciences economiques.
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  8. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2003. "Dating the Euro Area Business Cycle," Working Papers 237, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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  11. Michael D. Bordo & Thomas Helbling, 2003. "Have National Business Cycles Become More Synchronized?," NBER Working Papers 10130, National Bureau of Economic Research, Inc.
  12. Cerqueira, Pedro André & Martins, Rodrigo, 2009. "Measuring the determinants of business cycle synchronization using a panel approach," Economics Letters, Elsevier, vol. 102(2), pages 106-108, February.
  13. Michael Artis & Toshihiro Okubo, 2011. "Does International Trade Really Lead to Business Cycle Synchronization?-A panel data approach," Discussion Paper Series DP2011-05, Research Institute for Economics & Business Administration, Kobe University.
  14. Robert Kollmann, 1996. "Incomplete asset markets and the cross-country consumption correlation puzzle," ULB Institutional Repository 2013/7640, ULB -- Universite Libre de Bruxelles.
  15. Imbs, Jean, 2006. "The real effects of financial integration," Journal of International Economics, Elsevier, vol. 68(2), pages 296-324, March.
  16. Jonathan Heathcote & Fabrizio Perri, 2003. "Why Has the U.S. Economy Become Less Correlated with the Rest of the World?," American Economic Review, American Economic Association, vol. 93(2), pages 63-69, May.
  17. Todd E. Clark & Eric van Wincoop, 1999. "Borders and business cycles," Research Working Paper 99-07, Federal Reserve Bank of Kansas City.
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  19. Jarko Fidrmuc, 2004. "The Endogeneity of the Optimum Currency Area Criteria, Intra-industry Trade, and EMU Enlargement," Contemporary Economic Policy, Western Economic Association International, vol. 22(1), pages 1-12, 01.
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