Business Cycle Synchronization in The EU Economies After the Recession of 2007-2009

• Autorzy: Magdalena Osińska , Tadeusz Kufel , Marcin Błażejowski , Paweł Kufel
• Języki publikacji: EN

Abstrakty

EN

The aim of the study is to evaluate business cycle synchronization in the EU economies including the determination of the impact of the global financial and economic recession of 2007-2009. In general, the economic recession can be understood as one of the phases of the global business cycle because all countries had suffered somehow from this enormous collapse. However, the depth and length of this phase was different across the countries due to different approaches to the monetary and fiscal policy that was applied to stop it and to start economic recovery. That is why some substantial changes could arise leading to the economic divergence of the economies that might affect not only the stability of particular economies but also periods of their recovery, which in consequence, might spoil the business cycle synchronization that had been observed before the recession. This is particularly important for the future of such economic bodies like the European Union and the Eurozone that experienced both the advantages and the disadvantages of common policy and currency. It is commonly assumed that the GDP series in constant prices measure both business activity and business cycle. In the presented research, seasonally adjusted quarterly GDP series from 1995-2012 were analyzed. To determine how much the recession affected business cycle synchronization, a cross-spectral analysis for the whole analyzed period and for moving windows was implemented. We proposed to apply the tools of cross-spectral analysis such as coherence, phase and amplitude of the specified frequencies taking into account the time window of 48 quarters. Such a procedure allows indicating a rapid change in business cycle synchronization conditionally on the period of the analysis which includes the period 2007-2009. The empirical findings show that the assumption of business cycle synchronization within the EU was confirmed for the strongest economies of the European Union like Germany, Great Britain and France. Moreover, Poland and Spain can also be included in the club of synchronized economies. Other EU economies like the Hungarian, Italian and Portugese, were less synchronized with the EU business cycle, although in the period of crisis they were closer to the whole economic area. For the non-EU countries, a significantly weaker synchronization with the EU was observed. The hypothesis that the financial crisis caused similarities in the business cycle paths of the EU countries and the USA was confirmed, while for Japan and Switzerland it could not be confirmed in the light of the obtained results.(original abstract)

Słowa kluczowe

PL

Cykl koniunkturalny; Gospodarka; Kryzys finansowy

EN

Business cycles; Economy; Financial crisis

• Czasopismo: Argumenta Oeconomica
• Rocznik: 2016
• Numer: nr 2 (37)
• Strony: 5-30

Twórcy

autor

Magdalena Osińska

• Nicolaus Copernicus University in Toruń, Poland

autor

Tadeusz Kufel

• Nicolaus Copernicus University in Toruń, Poland

autor

Marcin Błażejowski

• Nicolaus Copernicus University in Toruń, Poland

autor

Paweł Kufel

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

• Adamowicz, E., Dudek, S., Pachucki, D., Walczyk, K., Wahania cykliczne w Polsce i strefie euro [Business Cycle in Poland and in Eurozone]. PiM IRG SGH nr 89, Warszawa 2012.
• Claassen, C., Kabundi, A., Loots E., Decoupling between Emerging and Advanced Economies. An Exploratory Analysis. Paper presented at the 11th EBES (Eurasia Business and Economics Society) Conference, Ekaterinburg 2013.
• Dornbusch, R. Klucz do sukcesu [A Key to Success]. CeDeWu, Warszawa 2002.
• Gächter, M., Riedl, A., Ritzberger-Grünwald, D. Business Cycle Synchronization in the Euro Area and the Impact of the Financial Crisis, "Monetary Policy & The Economy', Q2/12 pp. 33-60, 2012.
• Grenander, U., Pollak, H.O., Slepian, D., The Distribution of Quadratic Forms in Normal Variates: A Small Sample Theory with Applications to Spectral Analysis, "Journal of the Society for Industrial and Applied Mathematics", Vol. 7, no. 4, pp. 374-401, 1959.
• Hodrick, R. J., Prescott, E. C., Postwar, U. S. Business Cycles: An Empirical Investigation, "Journal of Money, Credit and Banking", Vol. 29, no. 1, pp. 1-16, 1997.
• Kawa, P., Wpływ zaburzeń na rynkach finansowych na wzrost gospodarczy w krajach na średnim poziomie rozwoju [The Impact of Shocks on Financial Markets on Economic Growth in Medium Developed Countries] [in:] Wojtyna, A. (ed.) Kryzys finansowy i jego skutki dla krajów na średnim poziomie rozwoju [Finanacial Crisis and Its Impact on Medium Developed Countries]. PWE, Warszawa 2011.
• Koopmans, L. H., The Spectral Analysis of Time Series. Academic Press, San Diego 1995. Krugman, P., Zakończcie ten kryzys! [End This Depression Now!]. Helion, Gliwice 2013.
• Minsky, H., Stabilizing an Unstable Economy. Yale University Press, New Haven 1986.
• Osińska, M., Błażejowski, M., Kufel, P., Kufel, T, Analiza porównawcza wybranych filtrów w analizie synchronizacji cyklu koniunkturalnego [Comparative Analysis of Selected Filters in Application to Business Cycle Synchronization]. Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, "Taksonomia" 23, pp. 41-50, 2013.
• Piketty, T., Capital in the Twenty First Century. The Belknap Press of Harvard University Press, Cambridge, MA, 2014.
• Priestley, M. B., Spectral Analysis and Time Series, Vol. I and II, "Probability and Mathematical Statistics", Academic Press, 1983.
• Ravn, M. O., Uhlig, H., Notes on Adjusting the Hodrick-Prescott Filter for the Frequency of Observations, "The Review of Economics and Statistics", 84(2), pp. 371-380, 2002.
• Romer, D., Advanced Macroeconomics. McGraw-Hill, New York 2011.
• Schoukens, J., Pintelon, R., Rolain, Y., Time Domain Identification, Frequency Domain Identification. Equivalences! Differences?, Proceedings of the 2004 American Control Conference, Boston, Massachusetts June 30 - July 2, 2004.
• Skrzypczyński, P., Analiza synchronizacji cykli koniunkturalnych w strefie euro. [Analysis of Business Cycle Synchronization in Eurozone]. Materiały i Studia, Narodowy Bank Polski, Zeszyt nr 210, 2006.
• Skrzypczyński, P., Metody spektralne w analizie cyklu koniunkturalnego gospodarki polskiej. [Spectral Methods in the Analysis of Business Cycle in Polish Economy]. Materiały i Studia. Narodowy Bank Polski, Zeszyt nr 252, 2010.
• Stańczyk, Z., Wyrobek, J., Zastosowanie analizy spektralnej do weryfikacji hipotezy o rozłączeniu się gospodarek rozwiniętych i wschodzących.[Application of Spectral Analysis to Testing the Hypothesis of Developed and Emerging Economies Decoupling], Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie, pp. 5-21, 2013.
• Stiglitz, J. E., Towards a New Paradigm for Development: Strategies, Policies, and Processes. Prebisch Lecture at UNCTAD, Geneva, October 19, 1998.
• Talaga, L., Zieliński, Z., Analiza spektralna w modelowaniu ekonometrycznym [Spectral Analysis in Econometric Modelling], PWN, Warszawa, 1986.
• Williamson, J., A Short History of the Washington Consensus, "From the Washington Consensus towards a New Global Governance," Barcelona, September 24-25, 2004.
• http://www.iie.com/publications/papers/williamson0904-2.pdf, 2004.
• Woitek, U., The G7 Countries: A Multivariate Description of Business Cycle Stylized Facts [in:] Barnett, A. W., Gandolfo, G., Hillinger, C. (eds.), Dynamic Disequilibrium Modelling. Cambridge University Press, Cambridge 1996.

Identyfikatory

DOI

10.15611/aoe.2016.2.01