Cerqueira, Pedro André - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2014
This paper evaluates the impact of volatility shifts on different time varying period-by-period indexes which are used in the literature to study cross-country synchronization. Using GDP data for 22 OECD countries from 1970 to 2013 we show that when we take into account the volatility shifts the...