Extremal Dependence in International Output Growth: Tales from the Tails

Miguel de Carvalho () and António Rua

Oxford Bulletin of Economics and Statistics, 2014, vol. 76, issue 4, 605-620

Abstract: type="main" xml:id="obes12032-abs-0001">

This article explores the comovement of the economic activity of several OECD countries during periods of large negative and positive growth. Extremal dependence measures are here applied to assess the degree of cross-country tail dependence of output growth rates. Our main empirical findings are: (i) cross-country tail dependence is much stronger during periods of large negative growth, than during the ones of large positive growth; (ii) cross-country growth is asymptotically independent; (iii) cross-country tail dependence is considerably stronger than the one arising from a Gaussian dependence model. In addition, our results suggest that, among the typical determinants for explaining international output growth synchronization, only economic specialization similarity seems to play a role during such extreme periods.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1111/obes.2014.76.issue-4 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Extremal Dependence in International Output Growth: Tales from the Tails (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:76:y:2014:i:4:p:605-620

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049

Access Statistics for this article

Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().