Measuring Synchronisation and Convergence of Business Cycles

Siem Jan Koopman () and João Valle e Azevedo

No 03-052/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This paper investigates business cycle relations among different economies in the Euro area. Cyclical dynamics are explicitly modelled as part of a time series model. We introduce mechanisms that allow for increasing or diminishing phase shifts and for time-varying association patterns in different cycles. Standard Kalman filter techniques are used to estimate the parameters simultaneously by maximum likelihood. The empirical illustrations are based on gross domestic product (GDP) series of seven European countries which are compared with the GDP series of the Euro Area and that of the United States. The original integrated time series are band-pass filtered. We find that there is an increasing resemblance between the business cycle fluctuations of the European countries analysed and those of the Euro area, although with varying patterns.

Keywords: Band-pass filter; Cyclical convergence; Kalman filter; Unobserved components time series models; Phase shifts. (search for similar items in EconPapers)
JEL-codes: C13 C32 E32 (search for similar items in EconPapers)
Date: 2003-06-13
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Persistent link: http://EconPapers.repec.org/RePEc:dgr:uvatin:20030052

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