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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. Mario J. Crucini & M. Ayhan Kose & Christopher Otrok, 2008. "What Are the Driving Forces of International Business Cycles?," NBER Working Papers 14380, National Bureau of Economic Research, Inc.
  2. M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2005. "Understanding the Evolution of World Business Cycles," IMF Working Papers 05/211, International Monetary Fund.
  3. 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.
  4. M. Ayhan Kose & Eswar Prasad & Marco Terrones, 2003. "How Does Globalization Affect the Synchronization of Business Cycles?," IMF Working Papers 03/27, International Monetary Fund.
  5. Enrique G. Mendoza & Vincenzo Quadrini, 2009. "Financial Globalization, Financial Crises and Contagion," NBER Working Papers 15432, National Bureau of Economic Research, Inc.
  6. Claessens, Stijn & Kose, Ayhan & Terrones, Marco E, 2008. "What Happens During Recessions, Crunches and Busts?," CEPR Discussion Papers 7085, C.E.P.R. Discussion Papers.
  7. Buch, Claudia M. & Carstensen, Kai & Schertler, Andrea, 2010. "Macroeconomic shocks and banks’ foreign assets," Munich Reprints in Economics 19988, University of Munich, Department of Economics.
  8. Glenn Otto & Graham Voss & Luke Willard, 2001. "Understanding OECD Output Correlations," RBA Research Discussion Papers rdp2001-05, Reserve Bank of Australia.
  9. Brian M. Doyle & Jon Faust, 2005. "Breaks in the Variability and Comovement of G-7 Economic Growth," The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 721-740, November.
  10. Imbs, Jean, 2003. "Trade, Finance, Specialization and Synchronization," CEPR Discussion Papers 3779, C.E.P.R. Discussion Papers.
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