Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/303779 
Year of Publication: 
2022
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 10 [Issue:] 1 [Article No.:] 2116789 [Year:] 2022 [Pages:] 1-18
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This article investigates the effects of the different exchange rate regimes on business cycles comovement between advanced and emerging countries. We use the Granger Causality test (VAR model) on panel data to examine the causal relationships. Our findings show the existence of a bidirectional causal relationship between output comovement and the exchange rate regimes. We check the robustness of our results by applying Dumitrescu-Hurlin (2012) panel causality test that confirms our findings. Furthermore, the impulse response functions illustrate that business cycles comovement between advanced and emerging economies responds positively and significantly to the exchange rate regimes of these two groups of countries in the short term. However, the positive effect begins to wane before being negative from the third quarter and the fifth quarter for emerging economies and developed economies, respectively.
Subjects: 
Business cycle
exchange rate regime
synchronization
emerging economies
advanced economies
JEL: 
E32
F44
E42
F15
F31
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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