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.
|Number of pages||5|
|Journal||Applied Economics Letters|
|Publication status||Published - Jan 2012|
- Dynamic conditional correlation
- business cycle synchronization