Measuring Synchronisation and Convergence of Business Cycles

Tinbergen Institute Discussion Paper No. 03-052/4

26 Pages Posted: 23 Jul 2003

See all articles by Siem Jan Koopman

Siem Jan Koopman

Vrije Universiteit Amsterdam - School of Business and Economics; Tinbergen Institute; Aarhus University - CREATES

João Valle e Azevedo

Vrije Universiteit Amsterdam, School of Business and Economics

Date Written: June 17, 2003

Abstract

This paper investigates business cycle relations among different economies in the Euro area. Cyclical dynamics are explicitly modelled as part of a time series model. We introduce mechanisms that allow for increasing or diminishing phase shifts and for time-varying association patterns in different cycles. Standard Kalman filter techniques are used to estimate the parameters simultaneously by maximum likelihood. The empirical illustrations are based on gross domestic product (GDP) series of seven European countries, which are compared with the GDP series of the Euro Area and that of the United States. The original integrated time series are band-pass filtered. We find that there is an increasing resemblance between the business cycle fluctuations of the European countries analysed and those of the Euro area, although with varying patterns.

Keywords: Band-pass filter, Cyclical convergence, Kalman filter, Unobserved components time series models, Phase shifts

JEL Classification: C13, C32, E32

Suggested Citation

Koopman, Siem Jan and Valle e Azevedo, João, Measuring Synchronisation and Convergence of Business Cycles (June 17, 2003). Tinbergen Institute Discussion Paper No. 03-052/4, Available at SSRN: https://ssrn.com/abstract=417680 or http://dx.doi.org/10.2139/ssrn.417680

Siem Jan Koopman (Contact Author)

Vrije Universiteit Amsterdam - School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081 HV
Netherlands
+31205986019 (Phone)

HOME PAGE: http://sjkoopman.net

Tinbergen Institute ( email )

Gustav Mahlerplein 117
1082 MS Amsterdam
Netherlands

HOME PAGE: http://personal.vu.nl/s.j.koopman

Aarhus University - CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

João Valle e Azevedo

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

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