The synchronization of GDP growth in the G7 during US recessions

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

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Year of publication:	2012
Authors:	Antonakakis, Nikolaos ; Scharler, Johann
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 19.2012, 1, p. 7-11
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010548778