Characteristics of the Tunisian Business Cycle and its International Synchronization

Mehdi Bhoury () and Mohamed Slim Mouha ()
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Mehdi Bhoury: Central Bank of Tunisia
Mohamed Slim Mouha: Central Bank of Tunisia

No 16-2015, IHEID Working Papers from Economics Section, The Graduate Institute of International Studies

Abstract: In this paper, we have applied spectral and cross spectral analysis techniques as an alternative approach to characterize the Tunisian business cycle and measure the degree of its international synchronization. As a robustness check, we have applied these techniques to the industrial production (overall and manufacturing IPI) as well as two synthetic indexes: a dynamic factor and a diffusion index. We found the presence of two types of cycles: a minor cycle of 12.5 quarters (3.1 years) detected in Tunisia and in all its European trade partners and a major cycle of 33.3 quarters (8.3 years) observed in the majority of the cycles studied. The cross–spectral analysis provides a strong evidence of synchronization of the Business cycle in Tunisia and its European partners, particularly at high frequencies. The volatility of the Tunisian business cycle is generally lower than that of the European cycle. It is even lower for longer cycles. The transmission of cyclical shocks from the Euro Area to Tunisia is instantaneous for short cycles. The delays are much longer for the major cycles. They can reach 5 to 6 quarters.

Keywords: Business cycle; spectral analysis; international synchronization. (search for similar items in EconPapers)
Pages: 45 pages
Date: 2015-06-01
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