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

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.

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Year of publication:	2010-04
Authors:	Antonakakis, Nikolaos ; Scharler, Johann
Institutions:	FIW
Subject:	Dynamic conditional correlation \| Business cycle synchronization \| Recession

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Extent:	application/pdf
Series:	FIW Working Paper series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 049 1 pages long
Classification:	E3 - Prices, Business Fluctuations, and Cycles ; E32 - Business Fluctuations; Cycles ; F4 - Macroeconomic Aspects of International Trade and Finance ; F41 - Open Economy Macroeconomics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008560024