Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/12231
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dc.contributor.authorChen, Xiaoshan-
dc.contributor.authorMills, Terence C-
dc.date.accessioned2013-04-24T23:05:39Z-
dc.date.issued2009-03-
dc.identifier.urihttp://hdl.handle.net/1893/12231-
dc.description.abstractThis 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.en_UK
dc.language.isoen-
dc.publisherElsevier-
dc.relationChen X & Mills TC (2009) Evaluating growth cycle synchronisation in the EU, Economic Modelling, 26 (2), pp. 342-351.-
dc.rightsThe 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.-
dc.subjectCommon cyclesen_UK
dc.subjectCodependenceen_UK
dc.subjectScalar component modelsen_UK
dc.subjectMultivariate Beveridge–Nelsonen_UK
dc.subjectdecompositionen_UK
dc.titleEvaluating growth cycle synchronisation in the EUen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2999-12-31T00:00:00Z-
dc.rights.embargoreasonThe publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.-
dc.identifier.doihttp://dx.doi.org/10.1016/j.econmod.2008.07.017-
dc.citation.jtitleEconomic Modelling-
dc.citation.issn0264-9993-
dc.citation.volume26-
dc.citation.issue2-
dc.citation.spage342-
dc.citation.epage351-
dc.citation.publicationstatusPublished-
dc.citation.peerreviewedRefereed-
dc.type.statusPublisher version (final published refereed version)-
dc.author.emailxiaoshan.chen@stir.ac.uk-
dc.contributor.affiliationEconomics-
dc.contributor.affiliationLoughborough University-
dc.rights.embargoterms2999-12-31-
dc.rights.embargoliftdate2999-12-31-
dc.identifier.isi000263424400008-
Appears in Collections:Economics Journal Articles

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