Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 348-370 |
| Journal | Scottish Journal of Political Economy |
| Volume | 61 |
| Issue number | 4 |
| Early online date | 1 Jul 2014 |
| DOIs | |
| Publication status | Published - 30 Sep 2014 |
Keywords
- Scalar BEKK
- Multivariate Riskmetrics
- time varying correlation
- EU business cycle
- business cycle synchronisation.
Fingerprint Dive into the research topics of 'Business Cycle Synchronization in EU: A Time‐Varying Approach'. Together they form a unique fingerprint.
Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver
}
Business Cycle Synchronization in EU: A Time‐Varying Approach. / Degiannakis, Stavros; Duffy, David; Filis, George.
In: Scottish Journal of Political Economy, Vol. 61, No. 4, 30.09.2014, p. 348-370.Research output: Contribution to journal › Article › peer-review
TY - JOUR
T1 - Business Cycle Synchronization in EU: A Time‐Varying Approach
AU - Degiannakis, Stavros
AU - Duffy, David
AU - Filis, George
N1 - Reference text: Alesina, A. and Barro, R. J. (2002). Currency unions. Quarterly Journal of Economics, 117, pp. 409–36. CrossRef,Web of Science® Times Cited: 86 Altavilla, C. (2004). Do EMU members share the same business cycle? Journal of Common Market Studies, 42, pp. 869–96. Direct Link: AbstractPDF(570K)ReferencesWeb of Science® Times Cited: 12 Angeloni, I. and Dedola, L. (1999). From the ERM to the euro: new evidence on economic and policy convergence among EU countries. ECB Working Paper No. 4. Artis, M. and Zhang, W. (1999). Further evidence on the international business cycle and the ERM: is there a European business cycle? Oxford Economic Papers, 51, pp. 120–32. CrossRef,Web of Science® Times Cited: 65 Artis, M., Krolzig, H. M. and Toro, J. (2004). The European business cycle. Oxford Economic Papers, 56, pp. 1–44. CrossRef,Web of Science® Times Cited: 57 Azevedo, J. V. (2002). Business cycles: cyclical comovement within the European Union in the period 1960–1999: a frequency domain approach. Banco de Portugal Working Paper, No. 5-02. Baba, Y., Engle, R. F., Kraft, D. and Kroner, K. F. (1990). Multivariate simultaneous generalized ARCH. Mimeo, Department of Economics, University of California, San Diego. Babetskii, I. (2005). Trade integration and synchronisation of shocks. Implications for EU enlargement. Economics of Transition, 13, pp. 105–38. Direct Link: AbstractFull Article (HTML)PDF(424K)ReferencesWeb of Science® Times Cited: 12 Baldwin, R. and Wyplosz, C. (2006). The Economics of European Integration, 2nd edn. London: McGraw Hill. Baxter, M. and King, R. G. (1999). Measuring business cycles: approximate band-pass filters for economic time series. The Review of Economics and Statistics, 81, pp. 575–93. CrossRef,Web of Science® Times Cited: 457 Belo, F. (2001). Some facts about the cyclical convergence in the euro zone. Banco de Portugal Working Paper No. 7-01. Bergman, U. M. (2006). Are European business cycles converging? available at http://web.econ.ku.dk/okombe/BusinessNew.pdf. Bergman, U. M. and Jonung, L. (2010). Business cycle synchronization in Europe: evidence from the Scandinavian Currency Union. European Commission, Economic Papers 402. Böwer, U. and Guillemineau, C. (2006). Determinants of business cycle synchronisation across Euro area countries, ECB Working paper series No. 587. Burns, A. F. and Mitchell, W. C. (1946). Measuring Business Cycles. New York: NBER. Canova, F., Ciccarelli, M. and Ortega, E. (2012). Do institutional changes affect business cycles? Evidence from Europe. Journal of Economic Dynamics and Control, 36, pp. 1520–33. CrossRef,Web of Science® Times Cited: 4 Cerqueira, P. A. and Martins, R. (2009). Measuring the determinants of business cycle synchronization using a panel approach. Economics Letters, 102, pp. 106–8. CrossRef,Web of Science® Times Cited: 7 Clarida, R., Gali, J. and Gertler, M. (1999). The science of monetary policy: a New Keynesian perspective. Journal of Economic Literature, 37, pp. 1661–707. CrossRef,Web of Science® Times Cited: 1029 Concaria, L. A. and Soares, M. J. (2009). Business cycle synchronization across the Euro area: a wavelet analysis. NIPE working papers 8/2009. Considine, J. and Duffy, D. (2006). Partially sighted persons and the public debt elephant. Constitutional Political Economy, 17, pp. 237–49. CrossRef Crespo-Cuaresma, J. and Fernández-Amador, O. (2013). Business cycle convergence in EMU: a first look at the second moment. Journal of Macroeconomics, 37, pp. 265–84. CrossRef,Web of Science® Croux, C., Forni, M. and Reichlin, L. (2001). A measure for co-movement of economic variables: theory and empirics. Review of Economics and Statistics, 83, pp. 232–41. CrossRef,Web of Science® Times Cited: 56 Crowley, P. M. and Schultz, A. (2010). Measuring the intermittent synchronicity of macroeconomic growth in Europe. American Consortium on European Union Studies (ACES), Working Paper No. 2010.1. Darvas, Z. and Szapary, G. (2008). Business cycle synchronization in the enlarged EU. Open Economies Review, 19, pp. 1–19. CrossRef,Web of Science® Times Cited: 17 Dées, S. and Zorell, N. (2012). Business cycle synchronisation: disentangling trade and financial linkages. Open Economies Review, 23, pp. 623–43. CrossRef,Web of Science® Döpke, J. (1999). Stylised facts of Euroland's business cycle. Jahrbücher für National Ökonomie und Statistik, 219, pp. 591–610. Web of Science® Times Cited: 1 Eichengreen, B. (2000). The EMS in retrospect. National Bureau of Economic Research Working Paper 8035. Engle, R. F. (2002). Dynamic Conditional Correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20, pp. 339–50. CrossRef,Web of Science® Times Cited: 619 Engle, R. F. and Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11, pp. 122–50. CrossRef,Web of Science® Times Cited: 832 Fatas, A. (1997). EMU: countries or regions? Lessons from the EMS experience. European Economic Review, 41, pp. 743–51. CrossRef,Web of Science® Times Cited: 51 Ferreira-Lopes, A. and Pina, A. (2011). Business cycles, core and periphery in monetary unions: comparing Europe and North America. Open Economies Review, 22, pp. 565–92. CrossRef,Web of Science® Times Cited: 3 Fidrmuc, J. (2004). The endogeneity of the optimum currency area criteria, intra-industry trade, and EMU enlargement. Contemporary Economic Policy, 22, pp. 1–12. Direct Link: AbstractFull Article (HTML)PDF(133K)ReferencesWeb of Science® Times Cited: 31 Fidrmuc, J. and Korhonen, I. (2006). Meta-analysis of the business cycle correlation between the euro area and the CEECs. Journal of Comparative Economics, 34, pp. 518–37. CrossRef,Web of Science® Times Cited: 56 Fidrmuc, J. and Korhonen, I. (2010). The impact of the global financial crisis on business cycles in Asian emerging economies. Journal of Asian Economics, 21, pp. 293–303. CrossRef Fidrmuc, J., Ikeda, T. and Iwatsubo, K. (2012). International transmission of business cycles: evidence from dynamic correlations. Economics Letters, 114, pp. 252–5. CrossRef,Web of Science® Times Cited: 3 Frankel, J. A. and Rose, A. K. (1998). The endogeneity of the optimum currency area criteria. Economic Journal, 108, pp. 1009–25. Direct Link: AbstractPDF(228K)Web of Science® Times Cited: 478 Furceri, D. (2005). Is an increase of the fiscal budget at EMU level desirable? In P. Arestis, J. Ferreiro, F. Serrano (eds), Financial Development in National and International Markets. London: Palgrave Macmillan, pp. 118–32. Furceri, D. and Karras, G. (2008). Business-cycle synchronization in the EMU. Applied Economics, 40, 1491–501. CrossRef,Web of Science® Times Cited: 13 Gächter, M., Riedl, A. and Ritzberger-Gruenwald, D. (2012). Business cycle synchronization in the Euro Area and the impact of the financial crisis. Monetary Policy & the Economy, 2, pp. 33–60. Gali, J. and Perotti, R. (2003). Fiscal policy and monetary integration in Europe. Economic Policy, 18, pp. 533–72. Direct Link: Gayer, C. (2007). A fresh look at business cycle synchronisation in the euro area (No. 287). Directorate General Economic and Monetary Affairs, European Commission. Gogas, P. and Kothroulas, G. (2009). Two speed Europe and business cycle synchronization in the European Union: the effect of the common currency. MPRA Paper No. 13909. Gomez, D. M., Ortega, G. J. and Torgler, B. (2012). Synchronization and diversity in business cycles: a network approach applied to the European Union. CREMA Working Paper Series 2012-01, Center for Research in Economics, Management and the Arts (CREMA). de Haan, J., Jacobs, J. and Mink, M. (2007). Measuring synchronicity and co-movement of business cycles with an application to the Euro area. CESifo Working Paper Series with No. 2112. de Haan, J., Inklaar, R. and Jong-a Pin, R. (2008). Will business cycles in the euro area converge? A critical survey of empirical research. Journal of Economic Surveys, 22, pp. 234–73. Direct Link: AbstractArticlePDF(200K)ReferencesWeb of Science® Times Cited: 34 Hodrick, R. and Prescott, E. (1997). Postwar U.S. business cycles: an empirical investigation. Journal of Money, Credit and Banking, 29, pp. 1–16. CrossRef,Web of Science® Times Cited: 843 Hughes Hallett, A. and Richter, C. (2008). Have the Eurozone economies converged on a common European cycle? International Economics and Economic Policy, 5, pp. 71–101. CrossRef Inklaar, R. and de Haan, J. (2001). Is there really a European business cycle? A comment Oxford Economic Papers, 53, pp. 215–20. CrossRef,Web of Science® Times Cited: 24 Kenen, P. B. (1969). The optimum currency area: an eclectic view. In R. A. Mundell, A. Swoboda (eds), Monetary Problems of the International Economy. Chicago: University of Chicago Press, pp. 41–60. Kuznets, S. (1958). Long swings in the growth of population and in related economic variables. Proceedings of the American Philosophical Society, 102, pp. 25–57. Laurent, S. (2007). Estimating and Forecasting ARCH Models Using G@RCH 5. London: Timberlake Consultants Press. Lee, J. (2012). Measuring business cycle comovements in Europe: evidence from a dynamic factor model with time-varying parameters. Economics Letters, 115, pp. 438–40. CrossRef,Web of Science® Times Cited: 4 Lee, J. (2013). Business Cycle Synchronization in Europe: evidence from a Dynamic Factor Model. International Economic Journal, 27, pp. 347–64. CrossRef Lehwald, S. (2013). Has the Euro changed business cycle synchronization? Evidence from the core and the periphery Empirica, 40, 655–84. CrossRef,Web of Science® Times Cited: 1 López-Córdova, J. E. and Meissner, C. (2003). Exchange rate regimes and international trade: evidence from the classical gold standard era. American Economic Review, 93, pp. 344–53. CrossRef,Web of Science® Times Cited: 43 Maurel, M. (2002). On the way of EMU enlargement towards CEECs: what is the appropriate exchange rate regime? Discussion Paper No. 3409. CEPR. McKinnon, R. (1963). Optimum currency areas. American Economic Review, 53, pp. 717–25. Web of Science® Times Cited: 408 Mitchell, W. (1927). Business Cycles: The problem and its setting. New York: National Bureau of Economic Research Books. J. P. Morgan (1996). Riskmetrics technical document, 4th edn, New York: J. P. Morgan. Mundell, R. A. (1961). A theory of optimum currency areas. American Economic Review, 51, pp. 657–65. Web of Science® Times Cited: 809 Papageorgiou, T., Michaelides, G. and Milios, J. G. (2010). Business cycles synchronization and clustering in Europe (1960–2009). Journal of Economics and Business, 62, pp. 419–70. CrossRef Rogoff, K. (1985). The optimal degree of commitment to intermediate monetary target. Quarterly Journal of Economics, 100, 1169–90. CrossRef,Web of Science® Times Cited: 875 Rose, A. and Engel, C. (2002). Currency unions and international integration. Journal of Money, Credit and Banking, 34, pp. 1067–89. CrossRef,Web of Science® Times Cited: 61 Rose, A. and Stanley, T. D. (2005). A Meta-analysis of the effect of common currencies on international trade. Journal of Economic Surveys, 19, pp. 347–65. Direct Link: AbstractArticlePDF(166K)ReferencesWeb of Science® Times Cited: 76 Rozmahel, P. (2011). Real convergence trends in central and eastern European countries towards Eurozone: time-varying correlation approach. Silesian University Working Paper series. http://www.opf.slu.cz/aak/2011/02/rozmahel.pdf. Savva, C. S, Neanidis, K. C. and Osborn, D. R. (2010). Business cycle synchronisation of the Euro area with the new and negotiating member countries. International Journal of Finance and Economics, 15, pp. 288–306. Web of Science® Times Cited: 5 Sebastien, W. (2009). Business cycle synchronicity, amplitude and the euro: one size does not yet fit all. MPRA Working Paper 21065. Van der Weide, R. (2002). GO-GARCH: a multivariate generalised orthogonal GARCH model. Journal of Applied Econometrics, 17, pp. 549–64. Direct Link: AbstractFull Article (HTML)PDF(163K)ReferencesWeb of Science® Times Cited: 54 Weyerstrass, K., van Aarle, B., Kappler, M. and Seymen, A. (2011). Business cycle synchronisation with(in) the euro area: in search of a ‘euro effect’. Open Economy Review, 22, pp. 427–46. CrossRef,Web of Science® Times Cited: 3 Xekalaki, E. and Degiannakis, S. (2010). ARCH models for financial applications. New York: Wiley. CrossRef
PY - 2014/9/30
Y1 - 2014/9/30
N2 - This article 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 1980–2012. The paper provides evidence that changes in the business cycle synchronization correspond to major economic events that have taken place at a European level. In the main, business cycle synchronization until 2007 had moved in a direction positive for the operation of a single currency, suggesting that the common monetary policy was less costly in terms of lost flexibility at the national level. However, as a result of the Great Recession of 2007 and the subsequent Eurozone Crisis, a number of periphery countries, most notably Greece, have experienced desynchronization of their business cycles with the EU12-wide cycle. Nevertheless, for most countries, any questions regarding the optimality and sustainability of the common currency area in Europe should not be attributed to a lack of cyclical synchronization.
AB - This article 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 1980–2012. The paper provides evidence that changes in the business cycle synchronization correspond to major economic events that have taken place at a European level. In the main, business cycle synchronization until 2007 had moved in a direction positive for the operation of a single currency, suggesting that the common monetary policy was less costly in terms of lost flexibility at the national level. However, as a result of the Great Recession of 2007 and the subsequent Eurozone Crisis, a number of periphery countries, most notably Greece, have experienced desynchronization of their business cycles with the EU12-wide cycle. Nevertheless, for most countries, any questions regarding the optimality and sustainability of the common currency area in Europe should not be attributed to a lack of cyclical synchronization.
KW - Scalar BEKK
KW - Multivariate Riskmetrics
KW - time varying correlation
KW - EU business cycle
KW - business cycle synchronisation.
UR - https://pure.ulster.ac.uk/en/publications/a-tale-of-time-varying-business-cycle-synchronisation-in-europe-3
U2 - 10.1111/sjpe.12049
DO - 10.1111/sjpe.12049
M3 - Article
VL - 61
SP - 348
EP - 370
JO - Scottish Journal of Political Economy
JF - Scottish Journal of Political Economy
SN - 0036-9292
IS - 4
ER -