C12

Hypothesis Testing

Currency Union, Free Trade Areas, and Business Cycle Synchronization

JEL codes: 
C12, C13, C14, C15, C32, E32, F15
Version Date: 
Mar 2010
Author/s: 
Abstract: 

Since the 1970s the characteristics of international business cycles have changed and deeper economic integration has modified the features of cross-country comovement. We formally test for correlation shifts in measures of real economic activity and economic/financial integration.

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Currency Union, Free-Trade Areas, and Business Cycle Synchronization

JEL codes: 
C12, C13, C14, C15, C32, E32, F15
Version Date: 
Mar 2011
Author/s: 
Abstract: 

Since the 1970s the characteristics of international business cycles have changed and deeper economic integration has modified the features of cross-country comovement. We formally test for correlation shifts in measures of real economic activity and economic/financial integration.

Report file: 
PDF icon Download the paper (737.37 KB)

Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons

JEL codes: 
C12, C32, F40
Version Date: 
Aug 2004
Author/s: 
Abstract: 

Existing methods for constructing confidence bands for multivariate impulse response functions depend on auxiliary assumptions on the order of integration of the variables. Thus, they may have poor coverage at long lead times when variables are highly persistent. Solutions that have been proposed in the literature may be computationally challenging.

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