Business cycle synchronization during US recessions since the beginning of the 1870s

被引：27

作者：

Antonakakis, Nikolaos ^{[1
,2
]}

机构：

[1] Vienna Univ Econ & Business, Dept Econ, Inst Int Econ, A-1090 Vienna, Austria

[2] Vienna Univ Econ & Business, Res Inst European Affairs, A-1090 Vienna, Austria

来源：

ECONOMICS LETTERS | 2012年 / 117卷 / 02期

关键词：

Dynamic conditional correlation; Business cycles synchronization; Recession; Globalization; GROWTH; MODELS;

D O I：

10.1016/j.econlet.2012.06.034

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines the synchronization of business cycles across the G7 countries during US recessions since the 1870s. Using a dynamic measure of correlations, results depend on the globalization period under consideration. During the 2007-2009 recession, business cycles co-movements increased to unprecedented levels. (C) 2012 Elsevier B.V. All rights reserved,

引用

收藏

页码：467 / 472

页数：6

相关论文

共 17 条

[1] The synchronization of GDP growth in the G7 during US recessions [J].

Antonakakis, Nikolaos ;

Scharler, Johann .

APPLIED ECONOMICS LETTERS, 2012, 19 (01) :7-11

[2] BUSINESS CYCLE SYNCHRONIZATION SINCE 1880 [J].

Artis, Michael ;

Chouliarakis, George ;

Harischandra, P. K. G. .

MANCHESTER SCHOOL, 2011, 79 (02) :173-207

[3]

Claessens S, 2009, ECON POLICY, P653

[4] What are the driving forces of international business cycles? [J].

Crucini, Mario J. ;

Kose, M. Ayhan ;

Otrok, Christopher .

REVIEW OF ECONOMIC DYNAMICS, 2011, 14 (01) :156-175

[5] Breaks in the variability and comovement of G-7 economic growth [J].

Doyle, BM ;

Faust, J .

REVIEW OF ECONOMICS AND STATISTICS, 2005, 87 (04) :721-740

[6] Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models [J].

Engle, R .

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2002, 20 (03) :339-350

[7] THE MULTIVARIATE PORTMANTEAU STATISTIC [J].

HOSKING, JRM .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1980, 75 (371) :602-608

[8] Trade, finance, specialization, and synchronization [J].

Imbs, J .

REVIEW OF ECONOMICS AND STATISTICS, 2004, 86 (03) :723-734

[9] The First Global Recession in Decades [J].

Imbs, Jean .

IMF ECONOMIC REVIEW, 2010, 58 (02) :327-354

[10] Understanding the evolution of world business cycles [J].

Kose, M. Ayhan ;

Otrok, Christopher ;

Whiteman, Charles H. .

JOURNAL OF INTERNATIONAL ECONOMICS, 2008, 75 (01) :110-130