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Financial Integration and International Transmission of Business Cycles: Evidence from Dynamic Correlations

Author

Listed:
  • Jarko Fidrmuc

    (Austrian Central Bank, CESifo Munich, and Comenius University, Department of Applied Mathematics and Statistics, Bratislava)

  • Kentaro Iwatsubo

    (Graduate School of Economics, Kobe University)

  • Taro Ikeda

    (Graduate School of Economics, Kobe University)

Abstract

We estimate determinants of dynamic correlations of output comovement of OECD countries between 1990 and 2008. We show that trade intensity, degree of financial integration and specialization pattern have significantly different effects on comovements at different frequencies. This can bias the results using aggregate data or statistical filters. For example, financial integration is showed to have the highest positive effect for middle business frequencies, while it is insignificant for short-term frequencies.

Suggested Citation

  • Jarko Fidrmuc & Kentaro Iwatsubo & Taro Ikeda, 2010. "Financial Integration and International Transmission of Business Cycles: Evidence from Dynamic Correlations," Discussion Papers 1007, Graduate School of Economics, Kobe University.
    • Handle: RePEc:koe:wpaper:1007
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    File URL: http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2010/1007.pdf
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    Citations

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    Cited by:

    1. Stefano Magrini & Margherita Gerolimetto & Hasan Engin Duran, 2011. "Understanding the lead/lag structure among regional business cycles," Working Papers 2011_06, Department of Economics, University of Venice "Ca' Foscari".
    2. N. Antonakakis & G. Tondl, 2014. "Does integration and economic policy coordination promote business cycle synchronization in the EU?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(3), pages 541-575, August.
    3. Nikolaos Antonakakis & Gabriele Tondl, 2011. "Has Integration Promoted Business Cycle Synchronization in the Enlarged EU?," FIW Working Paper series 075, FIW.
    4. Magrini Stefano & Gerolimetto Margherita & Duran Hasan Engin, 2013. "Business cycle dynamics across the US states," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 1-28, April.

    More about this item

    Keywords

    Business Cycle; Transmission; Financial Integration; Dynamic Correlation;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F15 - International Economics - - Trade - - - Economic Integration
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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