Working Paper, Department of Economics, Johannes Kepler University of Linz 1005
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 rathe heterogeneous patterns of international synchronization exist during U.S. recessions. During the 2007 - 2009 recession, however, international co-movement increased substantially.
Dynamic conditional correlation Business cycle synchronization Recession