Antonakakis, Nikolaos and Scharler, Johann (2012) The synchronization of GDP growth in the G7 during US recessions. Applied Economics Letters, 19 (1). pp. 7-11. ISSN 1350-4851
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Official URL: http://dx.doi.org/10.1080/13504851.2011.564126
Abstract
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. (authors' abstract)
Item Type: | Article |
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Additional Information: | To see the final version of this paper please visit the publisher's website. The definitive version is available at http://www.taylorandfrancisgroup.com/. Access to the published version may require a subscription. |
Keywords: | dynamic conditional correlation / business cycle synchronization / recession |
Classification Codes: | JEL E3, E32, F4, F41 |
Divisions: | Departments > Volkswirtschaft |
Version of the Document: | Submitted |
Variance from Published Version: | None |
Depositing User: | Nikolaos Antonakakis |
Date Deposited: | 29 Mar 2012 10:32 |
Last Modified: | 30 Sep 2014 11:47 |
Related URLs: | |
FIDES Link: | https://bach.wu.ac.at/d/research/results/55883/ |
URI: | http://epub.wu.ac.at/id/eprint/3468 |
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