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Economic cycles and their synchronization: a comparison of cyclic modes in three European countries

Sella, Lisa and Vivaldo, Gianna and Groth, Andreas and Ghil, Michael Economic cycles and their synchronization: a comparison of cyclic modes in three European countries. Journal of Business Cycle Research, 12 (1). pp. 25-48. ISSN 2509-7962 (2016)

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Abstract

The present work applies singular spectrum analysis (SSA) to the study of macroeconomic uctuations in three European countries: Italy, The Netherlands, and the United Kingdom. This advanced spectral method provides valuable spatial and frequency information for multivariate data sets and goes far beyond the classical forms of time domain analysis. In particular, SSA enables us to identify dominant cycles that characterize the deterministic behavior of each time series separately, as well as their shared behavior. We demonstrate its usefulness by analyzing several fundamental indicators of the three countries' real aggregate economy in a univariate, as well as a multivariate setting. Since business cycles are international phenomena, which show common characteristics across countries, our aim is to uncover supranational behavior within the set of representative European economies selected herein. Finally, the analysis is extended to include several indicators from the U.S. economy, in order to examine its in uence on the European economies under study and their interrelationships.

Item Type: Article
Identification Number: 10.1007/s41549-016-0003-4
Uncontrolled Keywords: Advanced spectral methods; Business cycles;European Union; Frequency domain; Time domain
Subjects: H Social Sciences > HB Economic Theory
Research Area: Economics and Institutional Change
Depositing User: Gianna Vivaldo
Date Deposited: 15 Jun 2016 07:24
Last Modified: 08 Sep 2016 15:24
URI: http://eprints.imtlucca.it/id/eprint/3500

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