International output synchronization at different frequencies

Sun Ho Hwang and Yun Jung Kim

Economic Modelling, 2021, vol. 104, issue C

Abstract: This study investigates whether output comovement patterns across countries differ at varying frequencies and examines how trade and financial integration affect synchronization at different frequencies. Based on a frequency decomposition of real GDP growth using the bandpass filter, we construct measures for output synchronization at the business cycle and long-term frequencies for 296 country pairs out of 25 OECD countries. We find that bilateral trade intensity tends to be positively related, whereas bilateral portfolio holdings tend to be negatively related, to GDP synchronization, only at long-term frequencies. At the business cycle frequency, these relationships are not observed, suggesting that the effects of increased integration propagate rather slowly. Therefore, integration affects longer-term comovement, but not short-run cyclical comovement. Ultimately, these results highlight the importance of examining longer horizons beyond business cycle frequencies in measuring the international comovement of economic activity.

Keywords: Output synchronization; Trade and financial integration; Frequency decomposition (search for similar items in EconPapers)
JEL-codes: E32 F15 F36 F44 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999321002169
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002169

DOI: 10.1016/j.econmod.2021.105627

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().