The Synchronization of GDP Growth in the G7 during U.S. Recessions. Is this Time Different?

Nikolaos Antonakakis and Johann Scharler

No 49, FIW Working Paper series from FIW

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 U.S. recessions. During the 2007 - 2009 recession, however, international co-movement increased substantially.

Keywords: Dynamic conditional correlation; Business cycle synchronization; Recession (search for similar items in EconPapers)
JEL-codes: E3 E32 F4 F41 (search for similar items in EconPapers)
Pages: 12
Date: 2010-04
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Citations: View citations in EconPapers (9)

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Working Paper: The Synchronization of GDP Growth in the G7 during U.S. Recessions. Is this Time Different? (2010)
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