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Business cycle synchronization and the euro : a wavelet analysis

Conraria, Luís Aguiar; Soares, M. J.
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas
Tipo: Trabalho em Andamento
Publicado em //2010 ENG
Relevância na Pesquisa
66.25%
We use wavelet analysis to study cycle synchronization across the EU-15 and the Euro-12 countries. Based on the wavelet transform, we propose a metric to measure and test for business cycles synchronization. Several conclusions emerge. France and Germany form the core of the Euro land, being the most synchronized countries with the rest of Europe. Portugal, Greece, Ireland and Finland do not show statistically relevant degrees of synchronization with Europe. We also show that some countries (like Spain) have a French accent, while others have a German accent (e.g. Austria). Perhaps surprisingly, we find that the French business cycle has been leading the German business cycle as well as the rest of Europe. Among the countries that may, in the future, join the Euro, the Czech Republic seems the most promising candidate.; Fundação para a Ciência e a Tecnologia (FCT) - PTDC/ECO/64750/2006

Business cycle synchronization and the Euro : a wavelet analysis

Conraria, Luís Aguiar; Soares, M. J.
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Publicado em /09/2011 ENG
Relevância na Pesquisa
66.27%
We use wavelet analysis to study business cycle synchronization across the EU-15 and the Euro-12 countries. Based on the wavelet transform, we propose a metric to measure and test for business cycles synchronization. Several conclusions emerge. France and Germany form the core of the Euro land, being the most synchronized countries with the rest of Europe. Portugal, Greece, Ireland and Finland do not show statistically relevant degrees of synchronization with Europe. We also show that some countries (like Spain) have a French accent, while others have a German accent (e.g., Austria). Perhaps surprisingly, we find that the French business cycle has been leading the German business cycle as well as the rest of Europe. Among the countries that may, in the future, join the Euro, the Czech Republic seems the most promising candidate.; Fundação para a Ciência e a Tecnologia (FCT)

Sectoral Business Cycle Synchronization in the European Union

Afonso, António; Furceri, Davide
Fonte: ISEG – Departamento de Economia Publicador: ISEG – Departamento de Economia
Tipo: Outros
Publicado em /01/2007 ENG
Relevância na Pesquisa
66.29%
This paper analyses sectoral business cycle synchronization in an enlarged European Union using annual data for the period 1980-2005. In particular, we try to identify which sector for each country is driving the aggregate output business cycle synchronization. Overall, the sectors that provide the most relevant contribution are Industry, Building and Construction, and Agriculture, Fishery and Forestry. In contrast, the Services sector, the largest one in terms of valued added share, shows a relative low business cycle synchronization and volatility, implying that it contributes only marginally to the aggregate output business cycle synchronization.

Revisiting business cycle synchronisation in the European Union

Afonso, António; Sequeira, Ana
Fonte: ISEG - Departamento de Economia Publicador: ISEG - Departamento de Economia
Tipo: Outros
Publicado em //2010 ENG
Relevância na Pesquisa
66.19%
We assess the business cycle synchronization features of aggregate output in the 27 EU countries using annual data for the period 1970-2009. In particular, we compute measures of synchronisation for private consumption, government spending, gross fixed capital formation, exports and imports. Our results show a rise in synchronization over the full period, and although private consumption is the biggest component of GDP, external demand tends to be a more important determinant of business cycle synchronization.

Inflation and business cycle convergence in the euro area: empirical analysis using an unobserved component model

Hall, S. G.; Lagoa, S.
Fonte: Springer Verlag Publicador: Springer Verlag
Tipo: Artigo de Revista Científica
Publicado em //2014 ENG
Relevância na Pesquisa
66.21%
WOS:000343715400004 (Nº de Acesso Web of Science); The literature on optimum currency areas states that large inflation differentials can undermine monetary union. In the euro area, inflation rates diverged after the creation of the single currency, but started to converge again from mid-2002. Against this background, we assess the convergence of inflation rates and business cycles and study the relationship between them. The analysis is made using an unobserved component model estimated with the Kalman filter. In general, from 1980 to 2008 inflation rates and business cycles became more aligned in the euro area, but inflation rates converged more quickly than business cycles. The output gap is found to be a better indicator of the business cycle than unit labour cost when studying convergence. By looking at the causality between the convergence of inflation and output gap, it is found that inflation divergence has a limited destabilising economic impact.

How do wages react to the business cycle? A microeconometric approach

Duarte, Ana da Conceição Gracias
Fonte: NSBE - UNL Publicador: NSBE - UNL
Tipo: Dissertação de Mestrado
Publicado em /01/2009 ENG
Relevância na Pesquisa
66.22%
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics; This study investigates the impact of the business cycle on real wages using a rich data set that matches each employee to an employer. The major innovation that this study brings to academic research is the use of two disaggregated variables as cyclical components: Job Finding Probability (JFP) and Job Separation Probability (JSP). Real wages react positively with the business cycle showing a procyclical behaviour. When JFP, JSP and the unemployment rate increase by 1 p.p., controlling for worker and firm heterogeneity, the real wage of a male worker that has an ongoing job, changes by 0.53%, -3.49% and -1.24% respectively. On the other hand, the real wage of a female worker changes by 0.42%, -0.43% and -0.85% with the same cyclical variables.

Business Cycle Synchronization and Regional Integration

Fiess, Norbert
Fonte: World Bank Publicador: World Bank
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
66.32%
Deeper trade integration between Central America and the United States, as envisaged under the Central American Free Trade Agreement, is likely to lead to closer links between Central American and U.S. business cycles. This article assesses the degree of business cycle synchronization between Central America and the United States—relevant not only for a better understanding of the influence of important trading partners on the business cycle fluctuations in the domestic economy but for evaluating the costs and benefits of macroeconomic coordination.

Business Cycle Synchronization and Regional Integration : A Case Study for Central America

Fiess, Norbert
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
66.33%
In early January 2003, the United States and Costa Rica, El Salvador, Guatemala, Honduras, and Nicaragua launched official negotiations for the Central American Free Trade Agreement (CAFTA), a treaty that would expand NAFTA-style trade barrier reductions to Central America. With deeper trade integration between Central America and the United States, it is expected that there will be closer links in business cycles between Central American countries and the United States. The paper finds a relatively low degree of business cycle synchronization within Central America as well as between Central America and the United States. The business cycle synchronization is expected to increase only modestly with further trade expansion, making the coordination of macroeconomic policies within CAFTA somewhat less of a priority.

New Firm Registration and the Business Cycle

Klapper, Leora; Love, Inessa; Randall, Douglas
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
66.28%
This paper uses new panel data on the number of new firm registrations in 109 countries during 2002-2012 to study the relationship between entrepreneurship and economic growth. The data show strong evidence of a pro-cyclical pattern in entrepreneurship. An examination of heterogeneous relationships between new firm registration and the business cycle finds that higher levels of financial development and better business environments are associated with stronger pro-cyclicality of entrepreneurship both across countries and within countries over time. The results are robust to various measures of business regulation, such as the cost and time of starting a new firm and closing an insolvent firm. These findings suggest that fostering an efficient regulatory environment for the financial and private sector is important for encouraging a speedier recovery in the formation of new firms during economic expansions and aiding the efficient wind-down of insolvent firms during economic slowdowns.

Bank Ownership and Credit over the Business Cycle : Is Lending by State Banks Less Procyclical?

Bertay, Ata Can; Demirguc-Kunt, Asli; Huizinga, Harry
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
66.22%
This paper finds that lending by state banks is less procyclical than lending by private banks, especially in countries with good governance. Lending by state banks in high-income countries is even countercyclical. On the liability side, state banks expand potentially unstable non-deposit liabilities relatively little during booms, especially in countries with good governance. Public banks also report loan non-performance more evenly over the business cycle. Overall the results of the analysis suggest that state banks can play a useful role in stabilizing credit over the business cycle as well as during periods of financial instability. However, the track record of state banks in credit allocation remains quite poor, questioning the wisdom of using state banks as a short-term countercyclical tool.

Business Cycle Effects on US Sectoral Stock Returns

Song, Keran
Fonte: FIU Digital Commons Publicador: FIU Digital Commons
Tipo: Artigo de Revista Científica Formato: application/pdf
Relevância na Pesquisa
66.44%
My dissertation investigated business cycle effects on US sectoral stock returns. The first chapter examined the relationship between the business cycle and sectoral stock returns. First, I calculated constant correlation coefficients between the business cycle and sectoral stock returns. Then, I employed the DCC GARCH model to estimate time-varying correlation coefficients for each pair of the business cycle and sectoral stock returns. Finally, I ran regression of sectoral returns on dummy variables designed to capture the four stages of the business cycle. I found that though sectoral stock returns were closely related to the business cycle, they did not share some of its main characteristics. The second chapter developed two models in order to discuss possible asymmetric business cycle effects on US sectoral stock returns. One was a GARCH model with asymmetric explanatory variables and the other one was an ARCH-M model with asymmetric external regressors. In the second model, square root of conditional variance of the business cycle proxy was characterized as positive or negative risk, depending on the algebraic sign of past innovations driving the business cycle proxy. I found that some sectors changed their cyclicities from expansions to recessions. Negative shocks to business cycles had most power to influence sectoral volatilities. Positive and negative parts of business cycle risk had same effects on some sectors but had opposite effects on other sectors. A general conclusion of both models was that business cycle had stronger effects than own sectoral effects in driving sectoral returns. The third chapter discussed Chinese business cycle effects on US sectoral stock returns at two horizons. At a monthly horizon...

Essays on business cycle fluctuations.

Photphisutthiphong, Nopphawan
Fonte: Universidade de Adelaide Publicador: Universidade de Adelaide
Tipo: Tese de Doutorado
Publicado em //2009
Relevância na Pesquisa
66.25%
This thesis consists of three essays on business cycle fluctuations that are based on the market-clearing dynamic general equilibrium framework. The first two essays examine the ultimate source of economic fluctuations in Thailand and Australia, respectively. The tool of study is the Business Cycle Accounting (BCA) method developed by Chari et al. (2002; 2007a). The third essay investigates the relation between capital-labour substitution and sectoral externalities in self-fulfilling expectation equilibria. It employs a two-sector competitive model proposed by Benhabib and Farmer (1996). The BCA method examines the transmission mechanisms of shocks within an economy. These transmission mechanisms are called wedges which are responsible for the deviation of aggregate variables from a competitive equilibrium. Four categories of wedges are defined in the BCA: 1) the efficiency wedge represents the input-financing frictions in production; 2) the labour wedge is the frictions between consumption leisure trade-off and marginal product of labour; 3) the investment wedge is the frictions between the intertemporal marginal rate of substitution in consumption and the marginal product of capital; and 4) the government consumption wedge indicates the frictions in international borrowing and lending. Chapter 2 applies the BCA method with deterministic wedges to examine the output variations in Thailand between 1971-2003. The efficiency wedge is found to be the most important driving force behind the output variations during episodes of boom and bust in Thailand over the studied period. In particular for the 1997 economic downturn...

Twin Deficits, Openness and the Business Cycle

CORSETTI, Giancarlo; MÜLLER, Gernot J.
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: application/pdf; digital
EN
Relevância na Pesquisa
66.19%
In this paper, we study the co-movement of the government budget balance and the trade balance at business cycle frequencies. In a sample of 10 OECD countries we find that the correlation of the two time series is negative, but less so in more open economies. Moreover, for the US the cross orrelation function is S-shaped. We analyze these regularities taking the perspective of international business cycle theory. First, we show that a standard model delivers predictions broadly in line with the evidence. Second, we show that conditional on spending shocks the model predicts a perfect correlation of the budget balance and the trade balance. Yet, the effect of spending shocks on the trade balance is contained if an economy is not very open to trade.

Precautionary demand for money in a monetary business cycle model

Telyukova, Irina A.; Visschers, Ludo
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em /11/2011 ENG
Relevância na Pesquisa
66.25%
We investigate quantitative implications of precautionary demand for money for business cycle dynamics of velocity and other nominal aggregates. Accounting for such dynamics is a standing challenge in monetary macroeconomics: standard business cycle models that have incorporated money have failed to generate realistic predictions in this regard. In those models, the only uncertainty affecting money demand is aggregate. We investigate a model with uninsurable idiosyncratic uncertainty about liquidity need and find that the resulting precautionary motive for holding money produces substantial qualitative and quantitative improvements in accounting for business cycle behavior of nominal variables, at no cost to real variables.; Visschers acknowledges SFU's President's Research Grant, UC3M's Instituto de Economía, a Spanish Ministry of Science Grant and a grant from the Juan de la Cierva Program.

Optimum currency area and business cycle synchronization across U.S. States

Conraria, Luís Aguiar; Brinca, Pedro; Haukur, Viðar Guðjónsson; Soares, Maria Joana
Fonte: Universidade do Minho - NIPE Publicador: Universidade do Minho - NIPE
Tipo: Trabalho em Andamento
Publicado em /02/2015 ENG
Relevância na Pesquisa
66.25%
We use wavelet analysis to investigate to what extent individual U.S. states' business cycles are synchronized. The results show that the U.S. states are remarkably well synchronized compared to the previous findings w.r.t. the Euro Area. There is also a strong and significant correlation between business cycle dissimilitudes and the distance between each pair of states, consistent to gravity type mechanisms where distance affects trade. Trade, in turn, increases business cycle synchronization. Finally we show that a higher degree of industry specialization is associated with a higher dissimilitude of the state cycle with the aggregate economy; COMPETE; QREN; FEDER; Fundação para a Ciência e a Tecnologia (FCT)

Business Cycle Synchronization and Insurance Mechanisms in the EU

Afonso, António; Furceri, Davide
Fonte: ISEG – Departamento de Economia Publicador: ISEG – Departamento de Economia
Tipo: Outros
Publicado em //2007 ENG
Relevância na Pesquisa
66.24%
In this paper we provide a positive exercise on past business-cycle correlations and risk sharing in the European Union, and on the ability of insurance mechanisms and fiscal policies to smooth income fluctuations. The results suggest in particular that while some of the new Member States have well synchronized business cycles, for some of the other countries, business cycles are not yet well synchronized with the euro area's business cycle, and risk-sharing mechanisms may not provide enough insurance against shocks.

Business cycle synchronization and insurance mechanisms in the EU

Afonso, António; Furceri, Davide
Fonte: European Central Bank Publicador: European Central Bank
Tipo: Outros
Publicado em /12/2007 ENG
Relevância na Pesquisa
66.24%
In this paper we provide a positive exercise on past business-cycle correlations and risk sharing in the European Union, and on the ability of insurance mechanisms and fiscal policies to smooth income fluctuations. The results suggest in particular that while some of the new Member States have well synchronized business cycles, for some of the other countries, business cycles are not yet well synchronized with the euro area's business cycle, and risk-sharing mechanisms may not provide enough insurance against shocks.

Inflation and business cycle convergence in the euro area: Empirical analysis using an unobserved component model

Lagoa, S.; Hall, S.G.
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Trabalho em Andamento
Publicado em 03/08/2012 ENG
Relevância na Pesquisa
66.21%
The optimum currency area literature highlights that large inflation differentials can undermine a monetary union. In the euro area, inflation rates diverged after the creation of the single currency, and started to converge again after mid 2002. Another point suggested by the literature is that business cycles are an important determinant of inflation differences across countries. Against this background, we assess the convergence of inflation rates and business cycles in the euro area and study the relationship between them. The analysis is done using unobserved component model estimated with the Kalman filter. In general, from 1980 to 2008, inflation rates and business cycles have become more aligned in the euro area. It is found that output gap is better than unit labour costs as an indicator of business cycle when studying convergence. We also conclude that inflation rates have converged faster than output gaps. When looking at the causality between the convergence of these two variables, it is found that the destabilising impact of inflation divergence is limited.

Merger Waves and the Austrian Business Cycle Theory

Saravia, Jimmy
Fonte: Mises Institute Publicador: Mises Institute
Tipo: article; info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Art??culo; publishedVersion
ENG
Relevância na Pesquisa
66.22%
This paper identifies merger waves as parts of Austrian-type business cycles. According to Austrian business cycle theory, when loan rates are reduced below their natural level through bank credit expansion, this falsifies the monetary calculation of capitalist-entrepreneurs, and investments are initiated that calculation showed were not profitable before the interest rate reduction. Since there are not enough resources in the economy to complete the new projects, businesses must increasingly withdraw the resources from other companies. Thus, this paper concludes that the increase in investment activity and the resulting ???resource crunch??? cause a merger wave that helps prolong the boom phase of the cycle. The merger wave ends when the credit expansion is not sufficient to sustain the economic boom, and the bust phase begins. Conversely, this paper concludes that if the fiduciary media do not enter the economy through the loan market to finance business investment, there is no pronounced and sustained increase in merger activity.

Technology Shocks or Colored Noise?: Why Real-Business-Cycle Models Cannot Explain Actual Business Cycles

Hoover, Dr Kevin; Salyer, Kevin D.
Fonte: SSRN eLibrary Publicador: SSRN eLibrary
Tipo: Artigo de Revista Científica Formato: 1500636 bytes; application/pdf
Publicado em //1997 EN_US
Relevância na Pesquisa
66.22%
Real-business-cycle models are assessed by their ability to mimic the covariances and variances of actual business cycle data. Recently, however, advocates of RBC models have used them to fit the historical path of real GDP using the Solow residual as a driving process. We demonstrate that the success of RBC models at matching historical GDP data does not confirm the validity of RBC models. Through simulations we demonstrate that the Solow residual does not carry useful information about technology shocks and that the RBC model does not add incremental information about GDP. RBC models fit historical GDP data entirely because the Solow residual is itself just a noisy measure of GDP.