F43

Economic Growth of Open Economies

Time-varying Business Cycles Synchronisation in Europe

JEL codes: 
C32, E32, F43, O52
Keywords: 
Scalar BEKK, Multivariate Riskmetrics, time varying correlation, EU business cycle, Business cycle synchronisation
Version Date: 
Nov 2013
Author/s: 
George Filis, Stavros Degiannakis, David Duffy
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.

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The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks in the G-7

JEL codes: 
E32, F02, F43
Keywords: 
european integration, international business cycles, time variation, volatility
Version Date: 
Sep 2004
Author/s: 
Denise Osborn
Abstract: 

This Paper examines the changing relationships between the G7 countries through VAR models for the quarterly growth rates, estimated both over sub-periods and using a rolling data window. Six trivariate models are estimated, all of which include the US and a European (E15) aggregate.

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