Business Cycle Spatial Synchronization: Measuring a Synchronization Parameter

Shinya Fukui
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Shinya Fukui: Graduate School of Economics, Kobe University / Senior Researcher, Osaka Prefectural Government, Japan

No 2009, Discussion Papers from Graduate School of Economics, Kobe University

Abstract: With decreasing comprehensive transportation costs, business cycle synchronization seems to be increasing. In such circumstances, we estimate business cycle synchronization of the Asia-Pacific region and European region. We apply the spatial generalized autoregressive score (Spatial GAS) method to measure the time-varying business cycle synchronization. Estimated business cycle synchronization parameters show positive high values in periods of economic turmoil, such as the collapse of the Lehman Brothers in 2008 by which high volatility is accompanied. With the recent increase in economic integration, exogenous shocks increased geographically and economically closer countries’ business cycle synchronization to each other, and such shocks cause economic instability.

Pages: 25 pages
Date: 2020-06
New Economics Papers: this item is included in nep-mac
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