Measuring the intermittent synchronicity of macroeconomic growth in Europe. ACES Cases No. 2010.1

Synchronization of growth rates are an important feature of international business cycles, particularly in relation to regional integration projects such as the single currency in Europe. Synchronization of growth rates clearly enhances the effectiveness of European Central Bank monetary policy, ensuring that policy changes are attuned to the dynamics of growth and business cycles in the majority of member states. In this paper a dissimilarity metric is constructed by measuring the topological differences between the GDP growth patterns in recurrence plots for individual countries. The results show that synchronization of growth rates were higher among the Euro area member states during the second half of the 1980s and from 1997 to roughly 2002. Apart from these two time periods, Euro area member states do not appear to be more synchronized than a group of major international countries, signifying that globalization was the major cause of international business cycle synchronization

Do Exchange Rate Series Present General Dependence? Some Results using Recurrence Quantification Analysis

In this paper, we apply a methodology based on the “Recurrence Quantification Analysis†to four daily exchange rate returns series. Our aim is to discover if they exhibit some kind of underlying structure, and to find an economic explanation for the behavior of exchange rates. Our results show the existence of structure in all series that, in certain cases, can be identified as non-linear deterministic. We also conclude that, in general, the underlying structure tends to disappear in the most recent periods

Insights to the European debt crisis using recurrence quantification and network analysis

URL des Documents de travail : http://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail/Documents de travail du Centre d'Economie de la Sorbonne 2015.35 - ISSN : 1955-611XThe turmoil in the sovereign debt markets in Europe has raised concerns on the usefulness of sovereign credit default swaps and government bond yields in periods of distress. In addressing this issue, we introduce a novel nonlinear approach for the analysis of non-stationary multivariate data based on complex networks and recurrence analysis. We show the relevance of the approach in studying joint risk connections, extracting hidden spatial information, time dependence, detection of regime changes and providing early warning indicators. The feasibility and relevance of the approach in studying systemic risk is discussed. Finally, we share more light on possible extensions and applications of the approach to systemic risk.Les turbulences sur les marchés de la dette souveraine en Europe ont suscité les intérêts sur l'utilité des contrats d'échange sur risque de crédits (CDS) et des rendements sur les obligations d'État dans les périodes de crise. En examinant cette question, nous introduisons une nouvelle approche non linéaire pour l'analyse des données à variables multiples non-stationnaires, basée sur les réseaux complexes et l'analyse de récurrence. Nous montrons la pertinence de l'approche en étudiant les risques communs, en extrayant les informations spatiales cachées et la dépendance par rapport au temps, en détectant des changements de régime et en fournissant des indicateurs d'alerte précoce. La faisabilité et la pertinence de l'approche dans l'étude du risque systémique est discutée. Enfin, la lumière est faite sur d'éventuelles extensions et applications de l'approche du risque systémique

Business cycle synchronisation in EU: a time-varying approach

The paper investigates the time -varying correlation between the EU12 -wide business cycle and the initial EU12 member -countries based on scalar -BEKK and multivariate Riskmetrics model frameworks for the period 1980-2009. The paper provides evidence that changes in the business cycle synchronisation correspond to institutional changes that have taken place at a European level.Business cycle synchronisation has moved in a direction positive for the operation of a single currency suggesting that the common monetary policy is less costly in terms of lost flexibility at the national level. Thus,any questions regarding the optimality and sustainability of the common currency area in Europe should not be attributed to the lack of cyclical synchronisation

Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer?

The present study adds to the literature on the impact of fiscal policy on business cycle synchronisation. Specifically, it investigates the effects of fiscal policy on business cycle synchronisation between the 10 EMU member-countries and the aggregate EMU12-wide business cycle, using a time-varying framework. The findings suggest that fiscal policy has important effects on business cycle synchronisation for all 10 EMU countries. Hence, fiscal policy is shown to have the potential to be supportive of macroeconomic stabilisation in the Eurozone. However the evidence reveals that none of the countries under examination consistently use fiscal policy to promote business cycle synchronisation

Fiscal policy, government size and EMU business cycle synchronization

We provide new evidence on the effects of fiscal policy and government size on pairwise business cycle synchronisation in EMU. A novel time-varying framework is employed to estimate business cycle synchronisation and subsequently a panel approach is used to establish the role of fiscal variables in determining the pairwise synchronisation observations across time. The findings suggest similarities in the size of the public sector, yet divergence in fiscal policy stance, matter for the determination of business cycle synchronisation. Hence, increased fiscal federalism in EMU will contribute to increased business cycle synchronisation. Our results remain robust to different specifications and sub-periods

Time-varying Business Cycles Synchronisation in Europe

The paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2009. The paper provides evidence that changes in the business cycle synchronisation correspond to institutional changes that have taken place at a European level. Business cycle synchronisation has moved in a direction positive for the operation of a single currency suggesting that the common monetary policy is less costly in terms of lost flexibility at the national level. Thus, any questions regarding the optimality and sustainability of the common currency area in Europe should not be attributed to the lack of cyclical synchronisation

Time-varying Business Cycles Synchronisation in Europe

The paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2009. The paper provides evidence that changes in the business cycle synchronisation correspond to institutional changes that have taken place at a European level. Business cycle synchronisation has moved in a direction positive for the operation of a single currency suggesting that the common monetary policy is less costly in terms of lost flexibility at the national level. Thus, any questions regarding the optimality and sustainability of the common currency area in Europe should not be attributed to the lack of cyclical synchronisation