Economic Cycles and Their Synchronization: A Survey of Spectral Properties

33 Pages Posted: 19 Jan 2014

See all articles by Lisa Sella

Lisa Sella

University of Turin - Department of Economics; CNR-Ceris

Gianna Vivaldo

Istituto Nazionale di Fisica Nucleare

Andreas Groth

Ecole Normale Supérieure

Michael Ghil

University of California; ENS, Paris

Date Written: August 2, 2013


The present work applies several advanced spectral methods to the analysis of macroeconomic fluctuations in three countries of the European Union: Italy, The Netherlands, and the United Kingdom. We focus here in particular on singular-spectrum analysis (SSA), which provides valuable spatial and frequency information of multivariate data and that goes far beyond a pure analysis in the time domain. The spectral methods discussed here are well established in the geosciences and life sciences, but not yet widespread in quantitative economics. In particular, they enable one to identify and describe nonlinear trends and dominant cycles | including seasonal and interannual components that characterize the deterministic behavior of each time series. These tools have already proven their robustness in the application on short and noisy data, and we demonstrate their usefulness in the analysis of the macroeconomic indicators of these three countries. We explore several fundamental indicators of the countries' real aggregate economy in a univariate, as well as a multivariate setting. Starting with individual single-channel analysis, we are able to identify similar spectral components among the analyzed indicators. Next, we consider combinations of indicators and countries, in order to take different effects of comovements into account. Since business cycles are cross-national phenomena, which show common characteristics across countries, our aim is to uncover hidden global behavior across the European economies. Results are compared with previous findings on the U.S. indicators (Groth et al., 2012). Finally, the analysis is extended to include several indicators from the U.S. economy, in order to examine its influence on the European market.

Keywords: Advanced Spectral Methods, European Business Cycle, Frequency Domain, Time Domain

JEL Classification: C15, C60, E32

Suggested Citation

Sella, Lisa and Vivaldo, Gianna and Groth, Andreas and Ghil, Michael, Economic Cycles and Their Synchronization: A Survey of Spectral Properties (August 2, 2013). FEEM Working Paper No. 105.2013. Available at SSRN: or

Lisa Sella (Contact Author)

University of Turin - Department of Economics ( email )

Via Po, 53
Torino, 10124

CNR-Ceris ( email )

Via Avogadro 8
10121 Torino
390116824926 (Phone)

Gianna Vivaldo

Istituto Nazionale di Fisica Nucleare ( email )

Via Amendola 173
Bari, BA 70126

Andreas Groth

Ecole Normale Supérieure ( email )

24, rue Lhomond
Paris cedex 05, 75230

Michael Ghil

University of California ( email )

Los Angeles, CA 90095
United States

ENS, Paris ( email )

Paris, 75005

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