Euro Area Business Cycles in Turbulent Times: Convergence or Decoupling?

38 Pages Posted: 28 Nov 2014

See all articles by Filippo Ferroni

Filippo Ferroni

Federal Reserve Bank of Chicago

Benjamin Klaus

European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Date Written: November 2014

Abstract

We study the business cycles properties of the four largest European economies in the wake of the recent recession episodes. The analysis is based on the factors estimated from a multi-country and multi-sector data rich environment. We measure alikeness of business cycles by studying the synchronization of up and down phases, the convergence properties of country fluctuations towards the Euro Area cycles and the contribution of the Euro Area factor to national GDPs volatilities. While the economic fluctuations of the four Euro Area member states were similar before the global financial turmoil, we gather compelling evidence of an asymmetric behavior of Spanish fluctuations relative to the Euro Area one.

Keywords: Hierarchical factor models; International business cycles; Synchronization and Convergence

JEL Classification: C51, E32, O52

Suggested Citation

Ferroni, Filippo and Klaus, Benjamin, Euro Area Business Cycles in Turbulent Times: Convergence or Decoupling? (November 2014). Banque de France Working Paper No. 522, Available at SSRN: https://ssrn.com/abstract=2531342 or http://dx.doi.org/10.2139/ssrn.2531342

Filippo Ferroni (Contact Author)

Federal Reserve Bank of Chicago ( email )

230 South LaSalle Street
Chicago, IL 60604
United States

Benjamin Klaus

European Central Bank (ECB) ( email )

Frankfurt
Germany

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