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Business cycle affiliations in the context of European integration

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Abstract:

We study affiliations for the countries of the European Economic and Monetary Union (EMU) with Germany and the USA, using various business cycle measures derived from quarterly real GDP. These measures are Hodrick-Prescott and Baxter-King filtered series and annual growth rates. By using rolling contemporaneous and maximum (over a short lead/lag interval) correlations, we document increasing correlations of EMU countries with Germany, with these typically being largest during the 1990s. We also document a strong leading role for the USA in relation to these countries in the period since 1993, thereby correcting the fallacy that the European business cycle was disjointed from the USA for most of the 1990s.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840500427924

Affiliations: 1: University of Valencia, Departamento de AnĂ¡lisis Economico, Valencia 46022, Spain 2: The University of Manchester, School of Social Sciences, Economics, UK

Publication date: February 1, 2007

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