Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/121048
Authors: 
Antonakakis, Nikolaos
Scharler, Johann
Year of Publication: 
2010
Series/Report no.: 
FIW Working Paper 49
Abstract: 
Using the dynamic conditional correlation (DCC) model due to Engle (2002), we estimate time varying correlations of quarterly real GDP growth among the G7 countries. In general, we find that rather heterogeneous patterns of international synchronization exist during U.S. recessions. During the 2007 - 2009 recession, however, international co-movement increased substantially.
Subjects: 
Dynamic conditional correlation
Business cycle synchronization
Recession
JEL: 
E3
E32
F4
F41
Document Type: 
Working Paper

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