Business Cycle Synchronization of CEECs with the Euro Area: A Regime Switching Approach

Giorgio, C Di

doi:10.1111/jcms.12302

Cited by 21 publications

(14 citation statements)

References 32 publications

(31 reference statements)

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“…As can be seen in almost all CWT plots, very strong business cycles synchronisation occurred during the crisis periods. Our findings coincide with the results of di Giorgio (2016) who analysed the same CEECs as we did and asserted that these countries share the same business cycle features when they Acta Oeconomica 67 (2017) are in a recession regime, but that is less evident when they are in an economic expansion phase. White lines in all CWT plots outline the areas of very strong (over 95%) co-movement between business cycles.…”

Section: The Wavelet Coherence Resultssupporting

confidence: 91%

Business cycles synchronisation between the EU-15 and selected Eastern European Countries – The wavelet coherence approach

2017

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This paper strives to investigate the level of business cycles synchronisation between 8 Central and Eastern European Countries (CEEC) and the EU-15. We use wavelet coherence and phase difference methodology as a very suitable tool that observes simultaneously the strength of business cycles’ co-movement in the aspect of time as well as in the aspect of frequency. The results indicate that the business cycles of CEECs are generally synchronised with the EU-15 business cycles, whereas distinct differences existed before, during, and after the financial crisis (2008–2009) and during the European sovereign debt crisis (2010–2011). In other words, we demonstrate that very strong business cycles synchronisation occurred in almost all CEECs during crisis periods and at higher wavelet scales, while only moderate synchronisation is recorded in relatively tranquil periods at higher frequencies. The results suggest that smaller CEECs, but also larger countries such as the Czech Republic, Hungary, and to some extent Slovakia as well have a higher level of business cycles synchronisation with the EU-15, particularly in the crisis period at short-run as well as at long-run fluctuations. However, we do not find strong business cycles co-movement in cases of Poland and Latvia via HP and BP filters at higher frequencies during the crisis, which might indicate a higher resistance of these countries to external systemic shocks.

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Section: The Wavelet Coherence Resultssupporting

confidence: 91%

Business cycles synchronisation between the EU-15 and selected Eastern European Countries – The wavelet coherence approach

2017

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“…Since the enlargement of the EU in 2004, the degree of integration of the Central and Eastern European Countries (CEECs) has been at the centre of many debates. Even if Stanisic () rejects the hypothesis of a common business cycle between CEECs, their fluctuations seem to have become closer and closer to those of the EA (Di Giorgio, ). Some CEECs have already adopted the euro while others are still candidates.…”

Section: Resultsmentioning

confidence: 99%

“…Their results show strong inter‐regional spillovers of output shocks. Recently, Di Giorgio (), using a Markov switching auto‐regressive model, has rejected the hypothesis of the independence of CEECs’ cycles from the EA cycle.…”

Section: Literature Reviewmentioning

confidence: 99%

The transmission of business cycles: Lessons from the 2004 enlargement of the EU and the adoption of the euro

Nguyen

Rondeau

2019

Econ of Transit and Inst Chang

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This paper evaluates the macroeconomic interdependencies of seven Central and Eastern European Countries (CEECs) with the Euro Area (EA) through trade relationship. We estimate a near‐VAR model and simulate the responses of activity in those CEECs to output shocks for 12 former members of the EA before and after the 2004 enlargement of the European Union. During both periods, empirical results show that spillover effects come through the main economies of the EA: Germany, France and Italy. Furthermore, CEECs were more responsive to output shocks in the EA after 2004 than before (3.3 times more on average). Increases in spillover effects are larger for the three CEECs that adopted the Euro early (Slovenia, Slovakia and Estonia) than the other CEECs but without higher trade intensity with the EA. Our results show that trade effects are positive inside the same currency area but negative for the CEECs without the euro.

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“…Data availability restricts our simulations to ten countries, while the EA now includes 19 economies. The growing heterogeneity (Bierbaumer‐Polly et al ., ; Di Giorgio, ) increases the need of a fiscal stabilizer, but it could also amplify the fears of cross‐country long‐term redistribution. The analysis presented here shows that a carefully designed risk‐sharing mechanism can provide non‐negligible stabilization with little or no cross‐country redistribution.…”

Section: Discussionmentioning

confidence: 99%

A Feasible Unemployment‐Based Shock Absorber for the Euro Area

Brandolini

Carta

D’Amuri

2016

J of Common Market Studies

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. www.econstor.eu This paper contributes to the debate on the design of a centralised fiscal tool absorbing country-specific negative shocks in the euro area. Based on theoretical insights, it identifies the broad characteristics that a shock absorber based on unemployment should have in order to be incentive-compatible and politically feasible. It then derives empirically the combination of activation thresholds, experience rating, eligibility criteria, and benefit generosity which define the systems offering the highest stabilisation for given levels of redistribution, accounting for the large variation in benefit take-up rates across European countries. The analysis suggests that the shock absorber should: i) give rise to macro crossnational transfers, mimicking those that would be generated by a notional euro-wide unemployment benefit scheme of minimal coverage and generosity; ii) be activated by a trigger; and iii) feature partial experience rating. The simulation results, confirmed by robustness checks, show that even systems that do not redistribute resources between countries can have a non-negligible stabilisation impact in the medium run. Low benefit takeup rates in Southern Europe substantially reduce the stabilisation properties and the size of the scheme. Terms of use: Documents in P O L I C Y P A P E R S E R I E SJEL Classification: E6, J65, H53

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Business Cycle Synchronization of CEECs with the Euro Area: A Regime Switching Approach

Cited by 21 publications

References 32 publications

Business cycles synchronisation between the EU-15 and selected Eastern European Countries – The wavelet coherence approach

Business cycles synchronisation between the EU-15 and selected Eastern European Countries – The wavelet coherence approach

The transmission of business cycles: Lessons from the 2004 enlargement of the EU and the adoption of the euro

A Feasible Unemployment‐Based Shock Absorber for the Euro Area

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