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Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model

Eickmeier, Sandra - 2006

This paper seeks to assess comovements and heterogeneity in the euro area by fitting a nonstationary dynamic factor model (Bai and Ng, 2004), augmented with a structural factor setup (Forni and Reichlin, 1998), to a large set of euro-area macroeconomic variables observed between 1982 and 2003....

Persistent link: https://www.econbiz.de/10010295820

Business Cycle Synchronization in Asia: The Role of Financial and Trade Linkages

Dai, Yuwen - 2014

States in the region economy, we use these three economies as our "reference countries" to study the synchronization of their … synchronization of their business cycles, including trade linkages, financial linkages, and policy similarities. From our panel data … the degree of their business cycle synchronization. …

Persistent link: https://www.econbiz.de/10010507560

Business Cycle Dynamics in the Euro Area: A Factor-SVAR Approach

Seymen, Atilim - 2009

The study investigates the business cycle dynamics in the euro area using an empirical framework which comprises common global and euro area shocks as well as allows bilateral spillovers of country-specific shocks across the member economies. Three core questions lie at the heart of the...

Persistent link: https://www.econbiz.de/10011345443

On some problems in discrete wavelet analysis of bivariate spectra with an application to business cycle synchronization in the euro zone

Bruzda, Joanna - 2011

phase angle is illustrated with a scale-dependent examination of business cycle synchronization between 11 euro zone member …

Persistent link: https://www.econbiz.de/10010304428

Some aspects of the discrete wavelet analysis of bivariate spectra for business cycle synchronisation

Bruzda, Joanna - In: Economics: The Open-Access, Open-Assessment E-Journal 5 (2011) 2011-16, pp. 1-46

The paper considers some of the issues emerging from the discrete wavelet analysis of popular bivariate spectral quantities such as the coherence and phase spectra and the frequency-dependent time delay. The approach utilised here is based on the maximal overlap discrete Hilbert wavelet...

Persistent link: https://www.econbiz.de/10010306878

Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data

Baruník, Jozef; Vácha, Lukáš; Krištoufek, Ladislav - 2011

In this paper, we contribute to the literature on international stock market comovement. The novelty of our approach lies in usage of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock market returns in a different way. Major part...

Persistent link: https://www.econbiz.de/10010322245

Transmission of Business Cycle Shocks between Unequal Neighbours: Germany and Austria

Fenz, Gerhard; Schneider, Martin - 2007

This paper analyses the comovement of the German and Austrian economies and the transmission of German shocks to Austria. Static and dynamic correlation measures show a strong comovement and a change of the relative position in time of these two economies. The transmission of German shocks to...

Persistent link: https://www.econbiz.de/10013370054

The European wine export cycle

Correia, Leónida; Gouveia, Sofia; Martins, Patrícia - In: Wine Economics and Policy 8 (2019) 1, pp. 91-101

analyzes the cyclical synchronization of wine exports for the ten main European wine-producing countries with the aggregate …-trending techniques, and Spearman's rank correlations and concordance indices are calculated to analyze the synchronization and … interaction between cycles. The results for the exports, by value, revealed a strong degree of synchronization over the whole …

Persistent link: https://www.econbiz.de/10014485120

Synchronization of endogenous business cycles

Pangallo, Marco - 2023

generate stronger comovement, because they combine shock propagation with synchronization of endogenous dynamics. In particular … synchronization. Next, we calibrate the model to data on 24 countries and show that the empirical level of comovement can only be …

Persistent link: https://www.econbiz.de/10014541813

Institutions and business cycles

Altug, Sumru; Emin, Mustafa; Neyapti, Bilin - 2011

, we also examine the determinants of business cycle synchronization for the countries in our sample. In contrast to … earlier studies which seek to account for such synchronization using gravity arguments as well as trade intensity and …

Persistent link: https://www.econbiz.de/10010273647