Please use this identifier to cite or link to this item:
Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Evaluating growth cycle synchronisation in the EU
Authors: Chen, Xiaoshan
Mills, Terence C
Contact Email:
Keywords: Common cycles
Scalar component models
Multivariate Beveridge–Nelson
Issue Date: Mar-2009
Publisher: Elsevier
Citation: Chen X & Mills TC (2009) Evaluating growth cycle synchronisation in the EU, Economic Modelling, 26 (2), pp. 342-351.
Abstract: This paper provides an insight into the level of economic and monetary integration in Europe by analysing the degree of growth cycle synchronisation between seven European countries over the past thirty years.Two univariate trend-cycle decomposition methodologies, the Beveridge–Nelson (BN) decomposition and Harvey and Trimbur [Harvey, A.C. & Trimbur, T.M. (2003) "General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series", The Review of Economics and Statistics, 85(2), 244–255.]'s unobserved component model, together with a multivariate extension of the BN decomposition incorporating trend and cycle restrictions, are used to identify the trend and cyclical components from real GDP for each of the seven countries. The cycles extracted from the two univariate approaches vary significantly in both cycle period and amplitude. The average correlation calculated from the BN cycles are also smaller than the corresponding correlation estimated using cycles extracted from the unobserved component model. This confirms the argument in Canova [Canova, F. (1998) "Detrending and Business Cycle Facts", Journal of Monetary Economics, 41(3), 475–512.] that the use of different trend-cycle decomposition methodologies may influence the results obtained. The results produced from the multivariate model indicate the presence of common features in the data. This may reflect the coordinated and common monetary and fiscal policies that these countries have shared over the sample period. However, the finding of codependent and heterogeneous growth cycles raises concerns about the operation of the European Monetary Union (EMU),as it implies that members may face significant stabilisation costs.
Type: Journal Article
DOI Link:
Rights: The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.
Affiliation: Economics
Loughborough University

Files in This Item:
File Description SizeFormat 
xiaoshan chen 3.pdf832.44 kBAdobe PDFUnder Embargo until 31/12/2999     Request a copy

Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependant on the depositor still being contactable at their original email address.

This item is protected by original copyright

Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

If you believe that any material held in STORRE infringes copyright, please contact providing details and we will remove the Work from public display in STORRE and investigate your claim.