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The synchronization of GDP growth in the G7 during US recessions

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 US recessions. During the 2007-2009 recession, however, international co-movement increased substantially. (authors' abstract)

Identiferoai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:3468
Date January 2012
CreatorsAntonakakis, Nikolaos, Scharler, Johann
PublisherTaylor & Francis
Source SetsWirtschaftsuniversität Wien
LanguageEnglish
Detected LanguageEnglish
TypeArticle, NonPeerReviewed
Formatapplication/pdf
Relationhttp://dx.doi.org/10.1080/13504851.2011.564126, http://www.taylorandfrancisgroup.com/, http://epub.wu.ac.at/3468/

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