Financial Integration and International Transmission of Business Cycles: Evidence from Dynamic Correlations

Jarko Fidrmuc, Kentaro Iwatsubo and Taro Ikeda
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Taro Ikeda: Graduate School of Economics, Kobe University

No 1007, Discussion Papers from Graduate School of Economics, Kobe University

Abstract: We estimate determinants of dynamic correlations of output comovement of OECD countries between 1990 and 2008. We show that trade intensity, degree of financial integration and specialization pattern have significantly different effects on comovements at different frequencies. This can bias the results using aggregate data or statistical filters. For example, financial integration is showed to have the highest positive effect for middle business frequencies, while it is insignificant for short-term frequencies.

Keywords: Business Cycle; Transmission; Financial Integration; Dynamic Correlation (search for similar items in EconPapers)
JEL-codes: E32 F15 F41 (search for similar items in EconPapers)
Pages: 9pages
Date: 2010-06
New Economics Papers: this item is included in nep-bec, nep-cba, nep-mac and nep-opm
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