Economic Cycles and Their Synchronization: A Comparison of Cyclic Modes in Three European Countries

Lisa Sella, Gianna Vivaldo, Andreas Groth () and Michael Ghil
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Lisa Sella: UNITO - Università degli studi di Torino = University of Turin, IRCrES - Research Institute on Sustainaible Economic Growth (CNR - Consiglio Nazionale delle Ricerche)
Gianna Vivaldo: IMT - School for Advanced Studies Lucca
Andreas Groth: CERES-ERTI - Centre d'Enseignement et de Recherche sur l'Environnement et la Societé / Environmental Research and Teaching Institute - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres
Michael Ghil: IGPP - Institute of Geophysics and Planetary Physics [Los Angeles] - UCLA - University of California [Los Angeles] - UC - University of California, CERES-ERTI - Centre d'Enseignement et de Recherche sur l'Environnement et la Societé / Environmental Research and Teaching Institute - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres

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Abstract: The present work applies singular spectrum analysis (SSA) to the study of macroeconomic fluctuations in three European countries: Italy, The Netherlands, and the United Kingdom. This advanced spectral method provides valuable spatial and frequency information for multivariate data sets and goes far beyond the classical forms of time domain analysis. In particular, SSA enables us to identify dominant cycles that characterize the deterministic behavior of each time series separately, as well as their shared behavior. We demonstrate its usefulness by analyzing several fundamental indicators of the three countries' real aggregate economy in a univariate, as well as a multivariate setting. Since business cycles are international phenomena, which show common characteristics across countries, our aim is to uncover supranational behavior within the set of representative European economies selected herein. Finally, the analysis is extended to include several indicators from the U.S. economy, in order to examine its influence on the European economies under study and their interrelationships.

Keywords: Spectral analysis; Synchronization; Business cycles synchronization; Advanced spectral methods; Business cycles; European Union; Frequency domain; Time domain; JEL classification: C15; C60; E32 * Corresponding author (search for similar items in EconPapers)
Date: 2016-09
New Economics Papers: this item is included in nep-ets and nep-mac
Note: View the original document on HAL open archive server: https://hal.science/hal-01701122v1
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Citations: View citations in EconPapers (6)

Published in Journal of Business Cycle Research, 2016, 12 (1), pp.25 - 48. ⟨10.1007/s41549-016-0003-4⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01701122

DOI: 10.1007/s41549-016-0003-4

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