Are Business Cycles in the US and Emerging Economies Synchronized?

National Bank of Poland Working Paper No. 111

27 Pages Posted: 16 Apr 2012

See all articles by Piotr Krupa

Piotr Krupa

affiliation not provided to SSRN

Pawel Skrzypczynski

National Bank of Poland

Date Written: April 2, 2012

Abstract

In this study, we use the tools of cross-spectral analysis and structural vector autoregression (SVAR) modelling to investigate whether there exists a significant link between the movement of the cyclical component of real GDP in developed and emerging economies. Specifically, we look at the United States and six emerging countries: Brazil, Chile, Korea, Malaysia, Mexico and Singapore. The simple answer to the question posed in the title of our article is no. Our results indicate that there exists no significant relationship between cyclical fluctuations in the US and emerging countries at business cycle frequencies. Although a statistically and economically significant link is detected in the past decade (the 2000s), it seems that it reflects mostly the severity of the 2008-2009 recession and its effects reverberating throughout the globe rather than a structural convergence between the developed and emerging world which could be expected to persist into the future. In general, both spectral methods and SVAR models suggest that over a long horizon, GDP cycles in the US and the emerging countries are not related.

Keywords: business cycles synchronization, time series filtering, cross-spectral analysis, SVAR models

JEL Classification: C22, C32, E32

Suggested Citation

Krupa, Piotr and Skrzypczynski, Pawel, Are Business Cycles in the US and Emerging Economies Synchronized? (April 2, 2012). National Bank of Poland Working Paper No. 111. Available at SSRN: https://ssrn.com/abstract=2039264 or http://dx.doi.org/10.2139/ssrn.2039264

Piotr Krupa (Contact Author)

affiliation not provided to SSRN ( email )

Pawel Skrzypczynski

National Bank of Poland ( email )

00-919 Warsaw
Poland

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