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Time-varying Business Cycles Synchronisation in Europe

Author

Listed:
  • Degiannakis, Stavros
  • Duffy, David
  • Filis, George

Abstract

The paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2009. The paper provides evidence that changes in the business cycle synchronisation correspond to institutional changes that have taken place at a European level. Business cycle synchronisation has moved in a direction positive for the operation of a single currency suggesting that the common monetary policy is less costly in terms of lost flexibility at the national level. Thus, any questions regarding the optimality and sustainability of the common currency area in Europe should not be attributed to the lack of cyclical synchronisation.

Suggested Citation

  • Degiannakis, Stavros & Duffy, David & Filis, George, 2013. "Time-varying Business Cycles Synchronisation in Europe," MPRA Paper 52925, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:52925
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    File URL: https://mpra.ub.uni-muenchen.de/52925/1/MPRA_paper_52925.pdf
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    References listed on IDEAS

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    Cited by:

    1. Svatopluk Kapounek & Jitka Pomenkova, 2012. "The Endogeneity of Optimum Currency Areas Criteria in the Context of Financial Crisis: Evidence from Time-Frequency Domain Analysis," MENDELU Working Papers in Business and Economics 2012-31, Mendel University in Brno, Faculty of Business and Economics.

    More about this item

    Keywords

    Scalar-BEKK; Multivariate Riskmetrics; time varying correlation; EU business cycle; business cycle synchronisation.;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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