Correlation of business cycles in the euro zone

Gonçalves, Carlos Eduardo Soares; Rodrigues, Mauro; Soares, Tiago de Menezes

doi:10.1016/j.econlet.2008.11.011

“…They use a simple pairwise correlation coefficients of GDP and unemployment and find that all 12 countries in their sample are better synchronized with the common EUwide cycle after the start of the EMU. The positive effects of EMU on business cycle synchronization are confirmed, with albeit different statistical methods, by Altavilla (2004), Gogas (2013), Darvas and Szapáry (2008), Gonçalves et al (2009), among others, as well as for different proxies for economic activity such as industrial production (Gayer, 2007) or economic sentiment indicators (Aguiar-Conraria et al, 2013). On the other hand, other studies fail to detect any EMU effect on business cycle synchronization (Camacho et al, 2006;Weyerstrass et al, 2011), or find even a dampening one (Papageorgiou et al, 2010).…”

mentioning

confidence: 81%

Business Cycle Synchronization in the EMU: Core vs. Periphery

Belke

¹

,

Domnick

²

,

Gros

³

2017

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The working papers published in the Series constitute work in progress circulated to stimulate discussion and critical comments. Views expressed represent exclusively the authors' own opinions and do not necessarily reflect those of the editors. Terms of use: Documents in Ruhr Economic Papers #659

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“…high consumer confidence sentiment; and higher stock prices improve and support future aggregate consumption and investment (market imperfections). 9 Discussing the impact of the Euro currency on the business cycle, Goncalves, Rodrigues, & Soares (2009) found that the advent of the Euro coincided with economic cycles becoming more interrelated among pairs of EMU member countries. 9 The authors advance a probable explanation for the observable shift from term spread to sectoral prices: that the introduction of the Euro likely led to a lower risk-premia in Euro-area financial assets, which makes it relatively more informative regarding future macro-economic fundamentals (Andersson & D'Agostino, 2008).…”

Section: B the Euro Currency And The Economic Growth-stock Market LImentioning

confidence: 99%

Does the Euro affect the dynamic relation between stock market liquidity and the business cycle?

Smimou¹,

Khallouli

²

2015

Emerging Markets Review

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“…Recent studies on business cycle synchronization within the euro zone (see, e.g., de Haan et al, 2008, Gonçalves et al, 2009, and references therein) usually provide evidence in favour of the endogeneity hypothesis of the optimum currency area criteria as stated in Frankel and Rose (1998), according to which (intra-industry) trade intensification and monetary integration lead to more correlated business cycles. Our empirical examination covering 11 euro zone member countries tries to contribute to the debate by looking at synchronization patterns alone, decomposed on a scale by scale basis.…”

Section: Introductionmentioning

confidence: 99%

On Some Problems in Discrete Wavelet Analysis of Bivariate Spectra with an Application to Business Cycle Synchronization in the Euro Zone

Bruzda

¹

2011

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract The paper considers some of the problems emerging from discrete wavelet analysis of popular bivariate spectral quantities like the coherence and phase spectra and the frequency-dependent time delay. The approach taken here, introduced by Whitcher and Craigmile (2004), is based on the maximal overlap discrete Hilbert wavelet transform (MODHWT). Firstly, we point at a deficiency in the implementation of the MODHWT and suggest using a modified implementation scheme resembling the one applied in the context of the dual-tree complex wavelet transform of Kingsbury (see Selesnick et al., 2005). Secondly, via a broad set of simulation experiments we examine small and large sample properties of two wavelet estimators of the scaledependent time delay. The estimators are: the wavelet cross-correlator and the wavelet phase angle-based estimator. Our results provide some practical guidelines for empirical examination of short-and medium-term lead-lag relations for octave frequency bands. Besides, we show how the MODHWT-based wavelet quantities can serve to approximate the Fourier bivariate spectra and discuss certain issues connected with building confidence intervals for them. The discrete wavelet analysis of coherence and phase angle is illustrated with a scale-dependent examination of business cycle synchronization between 11 euro zone member countries. The study is supplemented with wavelet analysis of variance and covariance of the euro zone business cycles. The empirical examination underlines good localization properties and high computational efficiency of the wavelet transformations applied, and provides new arguments in favour of the endogeneity hypothesis of the optimum currency area criteria as well as a wavelet evidence on dating the Great Moderation in the euro zone. Terms of use: Documents inJEL C19, E32, E58, O52

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Correlation of business cycles in the euro zone

Cited by 41 publications

References 4 publications

Business Cycle Synchronization in the EMU: Core vs. Periphery

Business Cycle Synchronization in the EMU: Core vs. Periphery

Does the Euro affect the dynamic relation between stock market liquidity and the business cycle?

On Some Problems in Discrete Wavelet Analysis of Bivariate Spectra with an Application to Business Cycle Synchronization in the Euro Zone

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