time varying correlation

Time-varying Business Cycles Synchronisation in Europe

JEL codes: 
C32, E32, F43, O52
Version Date: 
Nov 2013
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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