Time Varying Cyclical Analysis for Economies in Transition

Andrew Hughes Hallett and Christian Richter

No 334, CASE Network Studies and Analyses from CASE-Center for Social and Economic Research

Abstract: The identification of a possible European business cycle has been inconclusive and is complicated by the enlargement to the new member states and their transition to market economies. This paper shows how to decompose a business cycle into a time-frequency framework in a way that allows us to accommodate structural breaks and nonstationary variables. To illustrate, calculations of the growth rate spectrum and coherences for the Hungarian, Polish, German and French economies show the instability of the transition period. However, since then there has been convergence on the Eurozone economy at short cycle lengths, but little convergence in long cycles. We argue that this shows evidence of nominal convergence, but little real convergence. The Maastricht criteria for membership of the Euro therefore need to be adapted to test for real convergence.

Keywords: Time-Frequency Analysis; Coherence; Growth Rates; Business Cycle (search for similar items in EconPapers)
JEL-codes: C22 C29 C49 F43 O49 (search for similar items in EconPapers)
Pages: 21 Pages
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:sec:cnstan:0334

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