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Stabilization policy and business cycle phases in Europe: a Markov switching VAR analysis

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  • Khalid Sekkat
  • Michel Beine
  • Bertrand Candelon

Abstract

Most of the empirical studies dealing with international business cycles have disregarded the credibility issues that play an important role in the decision to join or not a monetary union. Most of empirical applications based on asymmetric shocks have failed to account for these aspects. In this paper, we tackle this problem by relying on a regime switching approach that characterizes the position of each economy in its business cycle. Then, using desynchronisation indices based on a non parametric approach, we measure the amplitude and the duration of divergence in the business cycles in order to assess the potential stabilization cost induced by the European economic and monetary union.
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Suggested Citation

  • Khalid Sekkat & Michel Beine & Bertrand Candelon, 2003. "Stabilization policy and business cycle phases in Europe: a Markov switching VAR analysis," ULB Institutional Repository 2013/7350, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/7350
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    Cited by:

    1. Carlos Felipe Jaramillo & Daniel Lederman & Maurizio Bussolo & David Gould & Andrew Mason, 2006. "Challenges of CAFTA : Maximizing the Benefits for Central America," World Bank Publications - Books, The World Bank Group, number 7127, April.
    2. Norbert Fiess, 2007. "Business Cycle Synchronization and Regional Integration: A Case Study for Central America," The World Bank Economic Review, World Bank, vol. 21(1), pages 49-72.
    3. López-Herrera, Francisco & Venegas-Martínez, Francisco, 2012. "Is There a Relationship between the Mexican and the US Real Business Cycles during 1930-2010?," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, in: Espinosa-Ramírez, Rafael Salvador (ed.), Research Issues Economic Relations, volume 1, chapter 6, pages 145-160, Escuela Superior de Economía, Instituto Politécnico Nacional.

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