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The synchronization of GDP growth in the G7 during US recessions

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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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. (author's abstract)

Item Type: Article
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: 29 Mar 2012 10:34
Related URLs:
FIDES Link: http://bach.wu.ac.at/bachapp/cgi-bin/fides/fides.a...
URI: http://epub.wu.ac.at/id/eprint/3468

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