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The Synchronization of GDP Growth in the G7 during U.S. Recessions. Is this Time Different?

  • Nikolaos Antonakakis
  • Johann Scharler

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 rathe heterogeneous patterns of international synchronization exist during U.S. recessions. During the 2007 - 2009 recession, however, international co-movement increased substantially.

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File URL: http://www.econ.jku.at/papers/2010/wp1005.pdf
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Paper provided by Department of Economics, Johannes Kepler University Linz, Austria in its series Economics working papers with number 2010-05.

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Length: 11 pages
Date of creation: Apr 2010
Date of revision:
Handle: RePEc:jku:econwp:2010_05
Contact details of provider: Fax: +43 732-2468-8238
Web page: http://www.econ.jku.at/

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  1. Kose, M. Ayhan & Prasad, Eswar & Terrones, Marco E., 2003. "How Does Globalization Affect the Synchronization of Business Cycles?," IZA Discussion Papers 702, Institute for the Study of Labor (IZA).
  2. Mario J. Crucini & M. Ayhan Kose & Christopher Otrok, 2008. "What Are the Driving Forces of International Business Cycles?," Vanderbilt University Department of Economics Working Papers 0815, Vanderbilt University Department of Economics.
  3. Vincenzo Quadrini & Enrique G. Mendoza, 2010. "Financial Globalization, Financial Crises and Contagion," 2010 Meeting Papers 841, Society for Economic Dynamics.
  4. Imbs, Jean, 2003. "Trade, Finance, Specialization and Synchronization," CEPR Discussion Papers 3779, C.E.P.R. Discussion Papers.
  5. Stijn Claessens & M. Ayhan Kose & Marco E. Terrones, 2009. "What happens during recessions, crunches and busts?," Economic Policy, CEPR;CES;MSH, vol. 24, pages 653-700, October.
  6. Claudia M. Buch & Kai Carstensen & Andrea Schertler, 2010. "Macroeconomic Shocks and Banks' Foreign Assets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 171-188, 02.
  7. Brian M. Doyle & Jon Faust, 2003. "Breaks in the variability and co-movement of G-7 economic growth," International Finance Discussion Papers 786, Board of Governors of the Federal Reserve System (U.S.).
  8. Glenn Otto & Graham Voss & Luke Willard, 2001. "Understanding OECD Output Correlations," RBA Research Discussion Papers rdp2001-05, Reserve Bank of Australia.
  9. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-50, July.
  10. Ayhan Kose, M. & Otrok, Christopher & Whiteman, Charles H., 2008. "Understanding the evolution of world business cycles," Journal of International Economics, Elsevier, vol. 75(1), pages 110-130, May.
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