TY - JOUR
T1 - The synchronization of GDP growth in the G7 during US recessions
AU - Antonakakis, Nikolaos
AU - Scharler, Johann
PY - 2012/10/1
Y1 - 2012/10/1
N2 - Using the dynamic conditional correlation (DCC) model due to Engle (2002), we estimate time varying correlations of quarterly real GDP growth among the G7 countries. In general, we find that rather heterogeneous patterns of international synchronization exist during US recessions. During the 2007-2009 recession, however, international co-movement increased substantially. (authors' abstract)
AB - Using the dynamic conditional correlation (DCC) model due to Engle (2002), we estimate time varying correlations of quarterly real GDP growth among the G7 countries. In general, we find that rather heterogeneous patterns of international synchronization exist during US recessions. During the 2007-2009 recession, however, international co-movement increased substantially. (authors' abstract)
UR - http://www.tandfonline.com/doi/abs/10.1080/13504851.2011.564126?journalCode=rael20
U2 - 10.1080/13504851.2011.564126
DO - 10.1080/13504851.2011.564126
M3 - Journal article
SN - 1350-4851
VL - 19
SP - 7
EP - 11
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 1
ER -