Template-Type: ReDIF-Paper 1.0 Series: Tinbergen Institute Discussion Papers Creation-Date: 2003-06-13 Number: 03-052/4 Author-Name: Siem Jan Koopman Author-Email: s.j.koopman@feweb.vu.nl Author-Workplace-Name: Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam Author-Name: Joao Valle e Azevedo Author-Email: azevedo@feweb.vu.nl Author-Workplace-Name: Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam Title: Measuring Synchronisation and Convergence of Business Cycles Abstract: This discussion paper resulted in an article in the Oxford Bulletin of Economics and Statistics (2008). Vol. 70 issue 1, pages 23-51.

This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series model. Weintroduce mechanisms that allow for increasing or diminishing phase shifts and for time-varyingassociation patterns in different cycles. Standard Kalman filter techniques are used toestimate the parameters simultaneously by maximum likelihood. The empirical illustrationsare based on gross domestic product (GDP) series of seven European countries which are comparedwith the GDP series of the Euro Area and that of the United States. The original integratedtime series are band-pass filtered. We find that there is an increasing resemblance between thebusiness cycle fluctuations of the European countries analysed and those of the Euro area,although with varying patterns. Classification-JEL: C13; C32; E32. Keywords: Band-pass filter; Cyclical convergence; Kalman filter; Unobserved components time series models; Phase shifts. File-Url: https://papers.tinbergen.nl/03052.pdf File-Format: application/pdf File-Size: 465380 bytes Handle: RePEc:tin:wpaper:20030052