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Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US *
Author(s) -
Koopman Siem Jan,
Azevedo João Valle E
Publication year - 2008
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/j.1468-0084.2007.00489.x
Subject(s) - business cycle , convergence (economics) , economics , hodrick–prescott filter , kalman filter , series (stratigraphy) , lag , econometrics , synchronization (alternating current) , gross domestic product , macroeconomics , mathematics , computer science , statistics , telecommunications , paleontology , computer network , channel (broadcasting) , biology
This paper investigates business cycle relations among different economies in the Euro area. Cyclical dynamics are explicitly modelled as part of a time series model. We introduce mechanisms that allow for increasing or diminishing phase shifts and for time‐varying association patterns in different cycles. Standard Kalman filter techniques are used to estimate the parameters simultaneously by maximum likelihood. The empirical illustrations are based on gross domestic product (GDP) series of seven European countries that are compared with the GDP series of the Euro area and that of the US. The original integrated time series are band‐pass filtered. We find that there is an increasing resemblance between the business cycle fluctuations of the European countries analysed and those of the Euro area, although with varying patterns.