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 discussion paper resulted in an article in the Oxford Bulletin of Economics and Statistics (2008). Vol. 70 issue 1, pages 23-51.

This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series model. Weintroduce mechanisms that allow for increasing or diminishing phase shifts and for time-varyingassociation patterns in different cycles. Standard Kalman filter techniques are used toestimate the parameters simultaneously by maximum likelihood. The empirical illustrationsare based on gross domestic product (GDP) series of seven European countries which are comparedwith the GDP series of the Euro Area and that of the United States. The original integratedtime series are band-pass filtered. We find that there is an increasing resemblance between thebusiness 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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20030052

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