The synchronization of GDP growth in the G7 during US recessions

Nikolaos Antonakakis and Johann Scharler

Applied Economics Letters, 2012, vol. 19, issue 1, 7-11

Abstract: Using the Dynamic Conditional Correlation (DCC) model due to Engle (2002), we estimate time-varying correlations of quarterly real GDP growth among the G7 countries. In general, we find that rather heterogeneous patterns of international synchronization exist during US recessions. During the 2007--2009 recession, however, international co-movement increased substantially.

Date: 2012
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DOI: 10.1080/13504851.2011.564126

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