The synchronization of GDP growth in the G7 during US recessions

Nikolaos Antonakakis, Johann Scharler

Publication: Scientific journalJournal articlepeer-review

Abstract

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)
Original languageEnglish
Pages (from-to)7 - 11
JournalApplied Economics Letters
Volume19
Issue number1
DOIs
Publication statusPublished - 1 Oct 2012

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