Advertisement

The European Physical Journal Special Topics

, Volume 164, Issue 1, pp 67–84 | Cite as

Analyzing convergence and synchronicity of business and growth cycles in the euro area using cross recurrence plots

  • P.M. CrowleyEmail author
Article

Abstract

Convergence and synchronisation of business and growth cycles are important issues in the efficient formulation of euro area monetary policy by the European Central Bank (ECB). Although several studies in the economics literature address the issue of synchronicity of growth within the euro area, this is the first study to address this issue using cross recurrence analysis. The main findings are that member state growth rates have largely converged since the introduction of the euro, but there is a wide degree of different synchronisation behaviours which appear to be non-linear in nature. These differences could cause problems in future implementation of a single (ECB-determined)monetary policy in the euro area.

Keywords

Monetary Policy Business Cycle European Physical Journal Special Topic Euro Area European Central Bank 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. R. Mundell, Amer. Econ. Rev. 51, 509 (1961) Google Scholar
  2. J.-P. Eckmann, S. Kamphorst, D. Ruelle, Europhys. Lett. 5, 973 (1987) Google Scholar
  3. C. Webber Jr., J. Zbilut, J. Appl. Phys. 76, 965 (1994) Google Scholar
  4. J. Zbilut, C. Webber Jr., Phys. Lett. A 171, 199 (1992) Google Scholar
  5. W. Feller, An Introduction to Probability Theory and its Applications (John Wiley & Sons, New York, NY, USA, 1950) Google Scholar
  6. N. Marwan, C. Romano, M. Thiel, J. Kurths, Phys. Rep. 438, 237 (2007) Google Scholar
  7. C. Webber Jr., J. Zbilut, M. Riley, G. Van Orden, Methods for the Behavioral Sciences, edited by M. Riley, G. Van Orden, National Science Foundation, Washington DC, USA, 2005, available at www.nsf.gov/sbe/bcs/pac/nmbs/nmbs.jsp Google Scholar
  8. J. Zbilut, Economics: Complex Windows, edited by M. Salzano, A. Kirman (Springer-Verlag, Italy, 2005), pp. 91–104 Google Scholar
  9. C. Kyrtsou, C. Vorlow, Complex Dynamics in Macroeconomics: A Novel Approach, Vol. 11 (Springer, New York, USA, 2005), pp. 223–238 Google Scholar
  10. D. Backus, P. Kehoe, Amer. Econ. Rev. 82, 864 (1992) Google Scholar
  11. D. Backus, P. Kehoe, F. Kydland, F. Cooley, International Business Cycles: Theory and Evidence, Frontiers of Business Cycle Research (Princeton University Press, Princeton, NJ, USA, 1995), pp. 331–356 Google Scholar
  12. Z. Kontolemis, Economica 64, 441 (1997) Google Scholar
  13. V. Zarnowitz, A. Ozyildirim, Time Series Decomposition and Measurement of Business Cycles, Trends and Growth Cycles, Vol. 8736 (Cambridge, MA, USA, 2002) Google Scholar
  14. M. Gallegati, M. Gallegati, Studies Nonlin. Dyn. Econometr. 11, 1435 (2007) Google Scholar
  15. P. Crowley, J. Lee, Decomposing the Co-Movement of the Business Cycle: A Time-Frequency Analysis of Growth Rates in the Euro Area, Bank of Finland (Helsinki, Finland, 2005) Google Scholar
  16. M. Crivellini, M. Gallegati, A. Palestrini, Industrial Output Fluctuations in Developed Countries: A Time-Scale Decomposition Analysis (Brussels, Belgium, 2004) Google Scholar
  17. M. Artis, W. Zhang, Int. J. Finance Econ. 2, 1 (1997) Google Scholar
  18. M. Artis, W. Zhang, Oxford Economic Papers 51, 120 (1999) Google Scholar
  19. C. Altavilla, J. Common Market Studies 42, 869 (2004) Google Scholar
  20. M. Sensier, M. Artis, D. Osborn, C. Birchenhall, Int. J. Forecasting 20, 343 (2004) Google Scholar
  21. J. Valle e Azevedo, A Frequency Domain Approach, WP 5-02, Banco do Portugal (Lisbon, Portugal, 2002) Google Scholar
  22. J. De Haan, R. Inklaar, O. Sleijpen, J. Common Market Studies 40, 23 (2002) Google Scholar
  23. B. Süssmuth, National and Supranational Business Cycles (1960-2000): A Multivariate Description of Central G7 and Euro15 NIPA Aggregates, WP 658, Vol. 658 (2002) Google Scholar
  24. J. Frankel, A. Rose, Eur. Econ. Rev. 41, 753 (1997) Google Scholar
  25. F. Takens, Detecting Strange Attractors in Turbulence, Vol. 898, Lect. Notes in Math. Dyn. Syst. Turbulence, edited by D. Rand, L.-S. Young (Springer-Verlag, Berlin, Germany, 1980), pp. 366–381 Google Scholar
  26. N. Marwan, M. Thiel, N. Nowaczyk, Nonlin. Proc. Geophys. 9, 325 (2002) Google Scholar
  27. J. Iwanski, E. Bradley, Chaos 8, 861 (1998) Google Scholar

Copyright information

© EDP Sciences and Springer 2008

Authors and Affiliations

  1. 1.Texas A&M UniversityCorpus ChristiUSA

Personalised recommendations