Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212010 
Year of Publication: 
2005
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 12/2005
Publisher: 
Bank of Finland, Helsinki
Abstract: 
This article analyses the frequency components of European business cycles using real GDP by employing multiresolution decomposition (MRD) with the use of maximal overlap discrete wavelet transforms (MODWT).Static wavelet variance and correlation analysis is performed, and phasing is studied using co-correlation with the euro area by scale.Lastly dynamic conditional correlation GARCH models are used to obtain dynamic correlation estimates by scale against the EU to evaluate synchronicity of cycles through time. The general findings are that euro area members fall into one of three categories: i) high and dynamic correlations at all frequency cycles (eg France, Belgium, Germany), ii) low static and dynamic correlations, with little sign of convergence occurring (eg Greece), and iii) low static correlation but convergent dynamic correlations (eg Finland and Ireland).
Subjects: 
business cycles
growth cycles
European Union
multiresolution analysis
wavelets
co-correlation
dynamic correlation
JEL: 
C65
E32
O52
Persistent Identifier of the first edition: 
ISBN: 
952-462-214-9
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.