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.
Original language | English |
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Pages (from-to) | 7-11 |
Number of pages | 5 |
Journal | Applied Economics Letters |
Volume | 19 |
Issue number | 1 |
DOIs | |
Publication status | Published - Jan 2012 |
Keywords
- Dynamic conditional correlation
- business cycle synchronization
- recession