Measuring Synchronization and Convergence of Business Cycles for the Euro Area, UK and US
Measuring Synchronization and Convergence of Business Cycles for the Euro Area, UK and US
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衡量欧元区、英国和美国经济周期的同步性和趋同性
DOI：
10.1111/j.1468-0084.2007.00489.x
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发表时间：
2007
期刊：
影响因子：
--
通讯作者：
J. V. E. Azevedo
中科院分区：
文献类型：
--
作者：
S. J. Koopman;J. V. E. Azevedo
本文研究了欧元区不同经济体之间的经济周期关系。周期动力学被明确地建模为时间序列模型的一部分。我们介绍了允许在不同周期中增加或减少相移和时变关联模式的机制。采用标准卡尔曼滤波技术，通过极大似然同时估计参数。实证说明基于七个欧洲国家的国内生产总值（GDP）序列，并将其与欧元区和美国的GDP序列进行比较。原始的积分时间序列是带通滤波的。我们发现，所分析的欧洲国家的商业周期波动与欧元区的商业周期波动越来越相似，尽管模式有所不同。版权所有2008布莱克威尔出版有限公司和牛津大学经济系。
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 that are compared with the GDP series of the Euro area and that of the US. 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. Copyright 2008 Blackwell Publishing Ltd and the Department of Economics, University of Oxford.