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Using the Dynamic Conditional Correlation (DCC) model due to Engle (2002), the authors estimate time varying correlations of quarterly real GDP growth among the G7 countries. In general, they find that rather heterogeneous patterns of international synchronization exist during U.S. recessions. During the 2007 - 2009 recession, however, international co-movement increased substantially. Conventional wisdom holds that during the slow down in economic activity such as that during 2007 to 2009 was highly synchronized across industrialized countries. However, so far only anecdotal evidence in favor of such statements is available.
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