Changes in International Business Cycle Affiliations

Erdenebat Bataa, Denise Osborn, Marianne Sensier and Dick van Dijk

Centre for Growth and Business Cycle Research Discussion Paper Series from Economics, The University of Manchester

Abstract: We investigate changes in international business cycle affiliations using an iterative procedure for detecting system-wide structural breaks. We analyze GDP growth rates in two systems, one with the US, Euro-area, UK and Canada and the other for the Euro-area countries of France, Germany and Italy. We discover that international dynamic interactions change in both the mid-1980s and early 1990s, with such changes being particularly important for studying influences on the aggregate Euro-area. However, contemporaneous (conditional) correlations between these Euro-area countries increase in 1984 and 1998, with a large increase in correlations also evident across the international system during the 1990s.

Pages: 36 pages
Date: 2009
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mac
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Working Paper: Changes in International Business Cycle Affiliations (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:man:cgbcrp:132

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