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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
File Function: First Version, 2010
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File URL: http://gemf.fe.uc.pt/workingpapers/pdf/2010/gemf_2010-21_v2.pdf
File Function: Revised Version, 2012
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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. Hidehiko Ichimura & Petra E. Todd, 2006. "Implementing Nonparametric and Semiparametric Estimators," CIRJE F-Series CIRJE-F-452, CIRJE, Faculty of Economics, University of Tokyo.
  2. Ambler, Steve & Cardia, Emanuela & Zimmermann, Christian, 2002. "International transmission of the business cycle in a multi-sector model," European Economic Review, Elsevier, vol. 46(2), pages 273-300, February.
  3. Heathcote, J. & Perri, F., 2001. "Financial Globalization and Real Regionalization," New York University, Leonard N. Stern School Finance Department Working Paper Seires 01-11, New York University, Leonard N. Stern School of Business-.
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  5. Kollmann, Robert, 1996. "Incomplete asset markets and the cross-country consumption correlation puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 20(5), pages 945-961, May.
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  7. Guillermo A. Calvo & Enrique G. Mendoza, 1999. "Regional Contagion and the Globalization of Securities Markets," NBER Working Papers 7153, National Bureau of Economic Research, Inc.
  8. Imbs, Jean, 2006. "The real effects of financial integration," Journal of International Economics, Elsevier, vol. 68(2), pages 296-324, March.
  9. 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.
  10. Jarko Fidrmuc, 2001. "The Endogeneity of the Optimum Currency Area Criteria, Intraindustry Trade, and EMU Enlargement," LICOS Discussion Papers 10601, LICOS - Centre for Institutions and Economic Performance, KU Leuven.
  11. 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.
  12. Racine, Jeff, 1997. "Consistent Significance Testing for Nonparametric Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 369-78, July.
  13. César Calderón & Alberto E. Chong & Ernesto H. Stein, 2003. "Trade Intensity and Business Cycle Synchronization: Are Developing Countries any Different?," IDB Publications (Working Papers) 6501, Inter-American Development Bank.
  14. Todd E. Clark & Eric Van Wincoop, 1999. "Borders and business cycles," Research Working Paper 99-07, Federal Reserve Bank of Kansas City.
  15. M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2003. "International Business Cycles: World, Region, and Country-Specific Factors," American Economic Review, American Economic Association, vol. 93(4), pages 1216-1239, September.
  16. 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.
  17. 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.
  18. Michael D. Bordo & Thomas Helbling, 2003. "Have National Business Cycles Become More Synchronized?," NBER Working Papers 10130, National Bureau of Economic Research, Inc.
  19. 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.
  20. Philip R. Lane & Gian Milesi-Ferretti, 2006. "The External Wealth of Nations Mark II; Revised and Extended Estimates of Foreign Assets and Liabilities, 1970–2004," IMF Working Papers 06/69, International Monetary Fund.
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