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Business Cycle Synchronization During US Recessions Since the Beginning of the 1870's

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  • Antonakakis, Nikolaos

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Abstract

This paper examines the synchronization of business cycles across the G7 countries during US recessions since the 1870's. Using a dynamic measure of business cycle synchronization, results depend on the globalisation period under consideration. On average, US recessions have significantly positive effects on business cycle co-movements only in the period following the breakdown of the Bretton Woods system of fixed exchange rates, while strongly decoupling effects among the G7 economies are documented during recessions that occurred under the classical Gold Standard. During the 2007-2009 recession, business cycles co-movements increased to unprecedented levels. (author's abstract)

Suggested Citation

  • Antonakakis, Nikolaos, 2012. "Business Cycle Synchronization During US Recessions Since the Beginning of the 1870's," Department of Economics Working Paper Series 3522, WU Vienna University of Economics and Business.
  • Handle: RePEc:wiw:wus005:3522
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    References listed on IDEAS

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    1. 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.
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    6. Mario Crucini & Ayhan Kose & Christopher Otrok, 2011. "What are the driving forces of international business cycles?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 156-175, January.
    7. Ayhan Kose, M. & Otrok, Christopher & Whiteman, Charles H., 2008. "Understanding the evolution of world business cycles," Journal of International Economics, Elsevier, vol. 75(1), pages 110-130, May.
    8. James H. Stock & Mark W. Watson, 2005. "Understanding Changes In International Business Cycle Dynamics," Journal of the European Economic Association, MIT Press, vol. 3(5), pages 968-1006, September.
    9. Jean Imbs, 2010. "The First Global Recession in Decades," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 58(2), pages 327-354, December.
    10. N/A, 2009. "On the Recession," Local Economy, London South Bank University, vol. 24(3), pages 253-253, May.
    11. Yetman, James, 2011. "Exporting recessions: International links and the business cycle," Economics Letters, Elsevier, vol. 110(1), pages 12-14, January.
    12. Mendoza, Enrique G. & Quadrini, Vincenzo, 2010. "Financial globalization, financial crises and contagion," Journal of Monetary Economics, Elsevier, vol. 57(1), pages 24-39, January.
    13. Nikolaos Antonakakis & Johann Scharler, 2010. "The Synchronization of GDP Growth in the G7 during U.S. Recessions. Is this Time Different?," Economics working papers 2010-05, Department of Economics, Johannes Kepler University Linz, Austria.
    14. Nikolaos Antonakakis & Johann Scharler, 2012. "The synchronization of GDP growth in the G7 during US recessions," Applied Economics Letters, Taylor & Francis Journals, vol. 19(1), pages 7-11, January.
    15. 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.
    16. Glenn Otto & Graham Voss & Luke Willard, 2001. "Understanding OECD Output Correlations," RBA Research Discussion Papers rdp2001-05, Reserve Bank of Australia.
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    Cited by:

    1. David Matesanz Gomez & Benno Torgler & Guillermo J. Ortega, 2013. "Measuring Global Economic Interdependence: A Hierarchical Network Approach," The World Economy, Wiley Blackwell, vol. 36(12), pages 1632-1648, December.
    2. Antonakakis, Nikolaos & Vergos, Konstantinos, 2013. "Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 258-272.
    3. Antonakakis, N. & Badinger, H., 2016. "Economic growth, volatility, and cross-country spillovers: New evidence for the G7 countries," Economic Modelling, Elsevier, vol. 52(PB), pages 352-365.
    4. Antonakakis, Nikolaos & Gogas, Periklis & Papadimitriou, Theophilos & Sarantitis, Georgios Antonios, 2016. "International business cycle synchronization since the 1870s: Evidence from a novel network approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 286-296.
    5. N. Antonakakis & H. Badinger, 2014. "International business cycle spillovers since the 1870s," Applied Economics, Taylor & Francis Journals, vol. 46(30), pages 3682-3694, October.
    6. Lillie Lam & James Yetman, 2013. "Asia's Decoupling: Fact, Fairytale or Forecast?," Pacific Economic Review, Wiley Blackwell, vol. 18(3), pages 321-344, August.
    7. Francis, Neville & Owyang, Michael T. & Soques, Daniel, 2015. "Does the United States Lead Foreign Business Cycles?," Review, Federal Reserve Bank of St. Louis, vol. 97(2), pages 133-158.
    8. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2013. "Dynamic co-movements of stock market returns, implied volatility and policy uncertainty," Economics Letters, Elsevier, vol. 120(1), pages 87-92.
    9. Aloui, Chaker & Hkiri, Besma & Nguyen, Duc Khuong, 2016. "Real growth co-movements and business cycle synchronization in the GCC countries: Evidence from time-frequency analysis," Economic Modelling, Elsevier, vol. 52(PB), pages 322-331.
    10. Nikolaos Antonakakis & Ioannis Chatziantoniou & George Filis, 2016. "Business Cycle Spillovers in the European Union: What is the Message Transmitted to the Core?," Manchester School, University of Manchester, vol. 84(4), pages 437-481, July.
    11. 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.
    12. Tiago Trancoso, 2013. "Global macroeconomic interdependence: a minimum spanning tree approach," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 5(1), pages 179-189, June.
    13. repec:eee:streco:v:44:y:2018:i:c:p:68-76 is not listed on IDEAS
    14. Styliani Christodoulopoulou, 2014. "The effect of currency unions on business cycle correlations: the EMU case," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(2), pages 177-222, May.
    15. Lillie Lam & James Yetman, 2013. "Asia’s decoupling: fact, forecast or fiction?," BIS Working Papers 438, Bank for International Settlements.
    16. Matesanz, David & Ortega, Guillermo J., 2016. "On business cycles synchronization in Europe: A note on network analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 287-296.

    More about this item

    Keywords

    dynamic conditional correlation; business cycle synchronization; recession; globalisation; G-7 Staaten; Konjunkturzyklus; Synchronisierung; Rezession; Transmissionsmechanismus; Globalisierung; Geschichte 1870 - 2011;

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • N10 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - General, International, or Comparative

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