Business cycle affiliations in the context of European integration

Abstract

Nutzungsbedingungen

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

“…However, those with a particular focus on Europe are frequently based on cross-correlation analysis, typically comparing correlations of individual European countries with movements in real activity in the US and Germany over various data sub-periods Zhang, 1997, 1999;Inklaar and de Haan 2001;Perez et al, 2005). The sub-periods chosen are selected on the basis of important events in the context of European integration that may alter the relationships among countries.…”

“…One context is that of European integration, where a number of studies document changes in the cross-correlations between European countries themselves and between these countries and the US; see, for example, Zhang (1997, 1999), Inklaar and de Haan (2001), Perez, Osborn and Sensier (2005). In other words, the process of European integration might be expected to alter the dynamics and the strength of the relationships between individual countries of the European Union and also between these countries and the US.…”

Business cycle synchronisation in the Euro area: the case of small countries

“…Following Perez et al (2007), we have allowed a maximum of five quarters of leads and lags, and have selected the highest of the 11 resulting correlations. Defining corr(x t , y t-i ) as the correlation between the business cycle of country x and y, these two countries are said to be cyclically synchronised if the maximum correlation occurs at i = 0.…”

Business Cycles, Core, and Periphery in Monetary Unions: Comparing Europe and North America

“…Artis and Zhang (1997) find evidence of stronger cyclical correlation between European economies after the start of the ERM, with most participating countries shifting their cyclical affiliations from the USA to Germany. Perez et al (2007), using rolling window contemporaneous and maximum (lead/lag) correlations, report an increase in business cycle correlations of EMU countries with Germany, though it also holds that the American cycle has led European countries' cycles by one to two quarters, especially since 1993. Angeloni and Dedola (1999) report that cyclical correlations of European countries with Germany increased in the pre-EMU years (1993)(1994)(1995)(1996)(1997) relative to previous periods, especially [1986][1987][1988][1989][1990][1991][1992].…”