Do EMU members share the same business cycle?
Do EMU members share the same business cycle?
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DOI：
10.1111/j.0021-9886.2004.00533.x
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发表时间：
2004-12-01
期刊：
影响因子：
--
通讯作者：
Altavilla, C
中科院分区：
文献类型：
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作者：
Altavilla, C
本文分析了确定一系列欧洲货币联盟（EMU）成员国商业周期的不同方法。首先，提出了分析经济活动周期性行为的框架。其次，将该算法应用于经典周期和增长周期，以恢复欧洲商业周期的风格化事实。第三，本文运用不同的计量经济学方法对各国经济周期和欧元区总周期的同步性进行了评价，并与美国的结果进行了比较。还采用了收敛分析。最后，构建了Hamilton-Markov切换模型的多元扩展，用于分析欧元区经济周期。结果表明，尽管在主要的衰退时期，欧元区经济体的产出动态相似，但在商业周期特征的规模和时间上仍然存在一些差异。结果还表明，加入新货币区可能会导致欧洲货币联盟成员国商业周期的更强同步性。
The article analyses alternative approaches for dating the business cycles of a set of European monetary union (EMU) member states. First, the framework for analysing cyclical behaviour in economic activity is presented. Second, the dating algorithm is applied to both the classical cycle and the growth cycle in order to recover stylized facts of the business cycle in Europe. Third, the article utilizes different econometric techniques to evaluate the synchronicity of national cycles and the euro area aggregate cycle, and compare the results with that of the USA. A convergence analysis is also employed. Finally, a multivariate extension of the Hamilton-Markov switching model is constructed to analyse the euro, area business cycle. The results suggest that, although during the main recessionary periods the euro area economies shared a similar output dynamic, some differences still remain in the size and timing of the business cycle features. The results also suggest that adhesion to the new currency area is likely to lead to stronger synchronization of EMU members' business cycles.