IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Annex A5 : A model of the stochastic convergence between euro area business cycles

Listed author(s):
  • Matthieu Lemoine

    (Observatoire français des conjonctures économiques)

A new non-linear parametric model, the Stochastic Cyclical Convergence Model (SCCM), is used for measuring the convergence of business cycles between euro area countries and the euro area aggregate. The model combines unobserved component models with time-varying parameter models. The convergence between the two cycles is characterised by two time-varying parameters, the phase-shift and a weight, which is related to the phase-adjusted correlation. A Kalman filter-based iterative procedure is used for the model estimation. SCCM models are applied to the GDP of euro area countries, the United Kingdom and of the euro area aggregate over the period 1963:1-2002:4. When the euro was launched, the convergence was already achieved for most of euro area countries, but Finland, Greece and Ireland had still not converged in 2002:4. The British cycle is also divergent with a lead equal to 3 quarters in 2002:4 and a weight equal to 0.6 in 2002:4. UK shocks have asynchronous asymmetric effects and this suggests that it would be delicate for the UK to join the euro area.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://spire.sciencespo.fr/hdl:/2441/1461/resources/annex-a5euroframe-lemoine2006.pdf
Download Restriction: no

Paper provided by Sciences Po in its series Sciences Po publications with number info:hdl:2441/1461.

as
in new window

Length:
Date of creation: 28 Sep 2006
Handle: RePEc:spo:wpmain:info:hdl:2441/1461
Contact details of provider: Web page: http://www.sciencespo.fr/

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window

  1. Michael D. Bordo & Thomas Helbling, 2003. "Have National Business Cycles Become More Synchronized?," NBER Working Papers 10130, National Bureau of Economic Research, Inc.
  2. Artis, Michael J & Zhang, W, 1997. "International Business Cycles and the ERM: Is There a European Business Cycle?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(1), pages 1-16, January.
  3. Harvey, A.C. & Trimbur, T.M., 2001. "General Model-based Filters for Extracting Cycles and Trends in Economic Time Series," Cambridge Working Papers in Economics 0113, Faculty of Economics, University of Cambridge.
  4. Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-184, January.
  5. 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 339-350, July.
  6. Matthieu Lemoine, 2005. "A model of the stochastic convergence between business cycles," Documents de Travail de l'OFCE 2005-05, Observatoire Francais des Conjonctures Economiques (OFCE).
  7. Siem Jan Koopman & Joao Valle e Azevedo, 2003. "Measuring Synchronisation and Convergence of Business Cycles," Tinbergen Institute Discussion Papers 03-052/4, Tinbergen Institute.
  8. Christian Richter & Andrew Hughes Hallett, 2005. "A Time-Frequency Analysis of the Coherences of the US Business," Computing in Economics and Finance 2005 45, Society for Computational Economics.
  9. Angeloni, Ignazio & Dedola, Luca, 1999. "From the ERM to the euro: new evidence on economic and policy convergence among EU countries," Working Paper Series 0004, European Central Bank.
  10. Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543, December.
  11. Gerhard Runstler, 2004. "Modelling phase shifts among stochastic cycles," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 232-248, 06.
  12. Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Oxford University Press, vol. 61(2), pages 247-264.
  13. Frederico Belo, 2001. "Some Facts About the Cyclical Convergence in the Euro Zone," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
  14. Frederico Belo, 2001. "Some Facts About the Cyclical Convergence in the Euro Zone," Working Papers w200107, Banco de Portugal, Economics and Research Department.
  15. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-360, Oct.-Dec..
  16. Engle, Robert F. & Issler, João Victor, 1993. "Common trends and common cycles in Latin America," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 47(2), April.
  17. Robert F. Engle & Sharon Kozicki, 1990. "Testing For Common Features," NBER Technical Working Papers 0091, National Bureau of Economic Research, Inc.
  18. repec:fgv:epgrbe:v:47:n:2:a:1 is not listed on IDEAS
  19. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-395, October.
  20. Mills, Terence C & Holmes, Mark J, 1999. "Common Trends and Cycles in European Industrial Production: Exchange Rate Regimes and Economic Convergence," Manchester School, University of Manchester, vol. 67(4), pages 557-587, September.
  21. Camba-Mendez, Gonzalo & Rodriguez-Palenzuela, Diego, 2003. "Assessment criteria for output gap estimates," Economic Modelling, Elsevier, vol. 20(3), pages 529-562, May.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:spo:wpmain:info:hdl:2441/1461. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Spire @ Sciences Po Library)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.