Agric. Econ. - Czech, 2013, 59(9):389-395 | DOI: 10.17221/9/2013-AGRICECON

The endogeneity of optimum currency area criteria in the context of financial crisis: Evidence from the time-frequency domain analysisOriginal Paper

Svatopluk KAPOUNEK1, Jitka POMĚNKOVÁ2
1 Department of Finance, Faculty of Business Economics, Mendel University in Brno, Brno, Czech Republic
2 Department of Radio Electronics, Faculty of Electrical Engineering and Communication, Brno University of Technology, Brno, Czech republic

We provide the wavelet analysis of the economic cycle synchronization during the recent financial crisis. However, the global financial crisis caused economic cycles in most European countries to become more strongly synchronized without increasing of the real convergence process. Our contribution is an application of the singular value decomposition to identify and remove the long-term trend including outliers appearing in the year 2007-2010. We found that the historically greater integration provides more highly synchronized cycles in the core Euro area member countries.

Keywords: Euro area, singular value decomposition, synchronization, wavelet analysis

Published: September 30, 2013  Show citation

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
KAPOUNEK S, POMĚNKOVÁ J. The endogeneity of optimum currency area criteria in the context of financial crisis: Evidence from the time-frequency domain analysis. Agric. Econ. - Czech. 2013;59(9):389-395. doi: 10.17221/9/2013-AGRICECON.
Share...
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. Antonakakis N. (2012): Business cycle synchronization during US recessions since the beginning of the 1870's. MPRA Paper No. 38341, April 2012. Go to original source...
    2. Aguiar-Conraria L., Soares M.J. (2011): Business cycle synchronization and the Euro: A wavelet analysis. Journal of Macroeconomics, 33: 477-489. Go to original source...
    3. Artis M.J., Fidrmuc J., Scharler J. (2008): The transmission of business bycles: Implications for EMU enlargement. The economics of transition. The European Bank for Reconstruction and Development, 16: 559-582. Go to original source...
    4. Artis M.J., Zhang W. (1997): International business cycles and the ERM: Is there a European business cycle? International Journal of Finance & Economics, 2: 1-16. Go to original source...
    5. Artis M.J., Zhang W. (1999): Further evidence on the international business cycle and the ERM: Is there a European business cycle? Oxford Economic Papers, 51: 120-132. Go to original source...
    6. Blanchard O., Wolfers J. (2000): The role of shocks and institutions in the rise of European unemployment: The aggregate evidence. Economic Journal, Royal Economic Society, 110: C1-33. Go to original source...
    7. Blumenstein J., Poměnková J., Maršálek R. (2012): Comparative Study of Time-Frequency Analysis Approaches with Application to Economic Indicators. Discussion paper. In: 26th European Conference on Modelling and Simulation. Koblenz, May 29-June 1 2012. Go to original source...
    8. Carvalho M., Rodriguez P., Rua A. (2012): Tracking the US business cycle with a singular spektrum analysis. Economic Letters, 114: 32-35. Go to original source...
    9. Corden W.M. (1972): Monetary integration. Essays in international finance, No. 93 International Finance Section, Department of Economics, Princeton University, Princeton.
    10. Croux Ch., Forni M., Reichlin L. (2001): A measure of comovement for economic variables: Theory and empirics. The Review of Economics and Statistics, 83: 232-241. Go to original source...
    11. Darvas Z., Szapáry G. (2008): Business cycle synchronization in the enlarged EU. Open Economies Review, 19: 1-19. Go to original source...
    12. Dées S., Zorell N. (2011): Business Cycle Synchronization Disentangling Trade and Financial Linkages. ECB Working Paper Series, No. 1332, April 2011. Go to original source...
    13. Filis G., Duffy D., Degiannakis S. (2011): Time-varying Business Cycles Synchronisation in Europe. Discussion Paper. In: Annual International Conference on Macroeconomic Analysis and International Finance, Crete, May 2011.
    14. Fidrmuc J. (2004): The endogeneity of the optimum currency area criteria, intraindustry trade, and EMU enlargement. Contemporary Economic Policy, 22: 1-12. Go to original source...
    15. Fidrmuc J., Korhonen I. (2006): Meta-analysis of the business cycle correlation between the euro area and the CEECs. Journal of Comparative Economics, 34: 518-537. Go to original source...
    16. Fidrmuc J., Korhonen I. (2010): The impact of the global financial crisis on business cycle in Asian emerging economies. Journal of Asian Economics, 21: 293-303. Go to original source...
    17. Fontagné L. (1999): Endogenous symmetry of shocks in a monetary union. Open Economies Review, 10: 263-287. Go to original source...
    18. Frankel J.A., Rose A.K. (1998): The endogeneity of the optimum currency area criteria. Economic Journal, Royal Economic Society, 108: 1009-1025. Go to original source...
    19. Gaechter M., Riedl A., Ritzberger-Gruenwald D. (2012): Business Cycle Synchronization in the Euro Area and the Impact of the Financial Crisis. Oesterreichische Nationalbank, Monetary Policy & the Economy, Discussion Paper, 2: 33-60.
    20. Gençay R., Selcuk F., Whitcher B. (2002): An Introduction to Wavelets and other Filtering Methods in Finance and Economics. Academic Press, Elsevier, San Diego; ISBN: 978-0122796708. Go to original source...
    21. Halmai P., Vásáry V. (2012): Growth crisis in the main groups of the EU Member States Comparative analysis. IWH Halle Discussion Paper, Halle.
    22. Harding D., Pagan A. (2006): Measurement of Business Cycles. Working Papers Series 966. Department of Economics, University of Melbourne.
    23. Kalemli-Ozcan S., Sorensen B.E., Yosha O. (2003): Risk sharing and industrial specialization: Regional and international evidence. American Economic Review, 93: 903-18. Go to original source...
    24. Kočenda E. (2001): Macroeconomic convergence in transition economies. Journal of Comparative Economics, 29: 1-23. Go to original source...
    25. Kočenda E., Kutan A.M., Yigit T.M. (2006): Pilgrims to the Eurozone: How far, how fast? Economic Systems, 30: 311-327. Go to original source...
    26. Kutan A.M., Yigit T. (2005): Nominal and real stochastic convergence: are the new EU members ready to join the Euro zone? Journal of Comparative Economics, 33: 387-400. Go to original source...
    27. Lucas R. (1976): Econometric policy evaluation: A critique. In: Brunner K., Meltzer A. (eds.): The Phillips Curve and Labor Markets. Carnegie-Rochester Conference Series on Public Policy: 19-46. Go to original source...
    28. Mertins A. (1999): Signal Analysis Wavelets, Filter Banks, Time-Frequency Transform and Applications. John Wiley & Sons Ltd., Chichester; ISBN 0-471-98626-7.
    29. Messina J., Strozzi CH., Turunen J. (2009): Real Wages over the Business Cycle OECD Evidence from the Time and Frequency Domains. Working Paper No. 1003. European Central Bank. Go to original source...
    30. Rua A. (2010): Measuring comovement in the time-frequency space. Journal of Macroeconomics, 32: 685-691. Go to original source...

    This is an open access article distributed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International (CC BY NC 4.0), which permits non-comercial use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.


    Return to the content