Synchronization in Business Cycle of East Asian Economy: Evidences - - PowerPoint PPT Presentation

Motivation Literature Empirical methodology Result Conclusions

Synchronization in Business Cycle of East Asian Economy: Evidences from Time-Varying Coherence Study

Jean-Pierre ALLEGRET Essahbi ESSAADI

GATE (CNRS, ENS LSH et Univ Lyon) GATE & UAQUAP (ISG, Univ. Tunis)

September 2010 (Fothcoming ’Economic Modelling’)

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions

Motivation

Analysis of the integration process in East Asia Sharp increase in regional bilateral trade in the 90s The main driver of trade integration has been the so-called global production sharing (Rana, 2007 ; Haddad, 2007 ; and Haltmaier et al., 2007). Regional institutional cooperation has improved after the 1997-98 crisis (Rana, 2007) Goal of the paper consider the critical role of trade integration in the process of economic integration The lower the business cycles synchronization between countries forming a monetary union, the higher the costs of this union.

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions General OCA Literature OCA in East Asia Study Purpose

Optimum Currency Areas Importance cycle synchronization

renouncing the use of monetary policy high cost if asymmetric shocks

Frankel and Rose (1998) =

⇒ endogenous approach

Monetary Union strengthen bilateral trade which in turn foster business cycle synchronization

New economic geography

integration can enhance specialization and hence the occurrence of asymmetric shocks

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions General OCA Literature OCA in East Asia Study Purpose

Empirical studies

1

for developed countries (Clark and van Wincoop, 2001)

Bilateral trade increases business cycle synchronization mainly intra-industry trade

2

for developing countries (Calderon et al, 2007)

less convincing results more inter-industry trade

Here : Is that the East Asian countries are similar to other emerging and developing countries (inter-industry trade) ?

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions General OCA Literature OCA in East Asia Study Purpose

Literature 1 Analysis of correlations (Crosby, 2003 ; Shin and Wang, 2003 ; Rana, 2007).

no clear evidence that comovements of GDP rose

2 Cointegration and approach in terms of common features (Zhang and Sato, 2005 and 2006 ; Sato, Allen, and Zhang, 2007).

Some countries share both synchronous movements of real output in the short and long terms

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions General OCA Literature OCA in East Asia Study Purpose

Literature 3 Decomposition of cycles in specific and common components Loayza et al. (2001) :

Panel data / model with error components Both for the long-term trends and fluctuations in short, the sectoral effects predominate, which means the presence of common factors in cycles

Chow and Kim (2003) :

VAR Models Low importance of regional shocks in relation to specific shocks

Lee et al. (2003), Moneta and Rüffer (2006), Lee and Azali (2006) :

Dynamic factor models decompose the unobservable component production global, regional and specific Inconclusive

⇒ The literature on business cycle synchronization in East Asia does not

lead to robust conclusions

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions General OCA Literature OCA in East Asia Study Purpose

Purpose of the paper Analyze the feasibility of a monetary union in East Asia with a new approach

TVCF (Time-Varying Coherence Function)

Compared to the previous literature Decompose the analysis of comovements in distinguishing the components of short-term and long-term Analyze the dynamics of business cycle synchronization introduce a new measure of integration based on all the countries of the region and not on a particular country as a proxy to the regional fluctuation. Sample longer : 1975Q1− 2007Q1

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Presentation of the Spectral Analysis Cohesion in East Asia Stability test of TVCF Methodology

Empirical methodology

Our dynamic approach is better suited to the integration process of the EA from the European experience of integration in East Asia took place over a short period and it was carried more by the market (market-driven). Our approach revolves around three major points Evolutionary Spectral Analysis Estimating Cohesion Identification of structural breaks endogenously

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Presentation of the Spectral Analysis Cohesion in East Asia Stability test of TVCF Methodology

Presentation of the Spectral Analysis

Evolutionary Spectral Analysis Xt = π

−π AX (w,t)eiwtdZX (w)

Time serie Xt 7 series SX (w,t) =

dHX (w,t) dw

,−π ≤ w ≤ π

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Presentation of the Spectral Analysis Cohesion in East Asia Stability test of TVCF Methodology

Presentation of the Spectral Analysis

Static Coherence TVCF 2

XY(wj) =

A2

XY(wj)

SX(wj)SY(wj)

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Presentation of the Spectral Analysis Cohesion in East Asia Stability test of TVCF Methodology

Presentation of the Spectral Analysis

Static Coherence TVCF 2

XY(wj) =

A2

XY(wj)

SX(wj)SY(wj) Dynamic Coherence (Essaadi and Boutahar, 2010) TVCF 2

XY(wj,t) =

A2

XY(wj,t)

SX(wj,t)SY(wj,t)

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Presentation of the Spectral Analysis Cohesion in East Asia Stability test of TVCF Methodology

Presentation of the Spectral Analysis

Static Coherence TVCF 2

XY(wj) =

A2

XY(wj)

SX(wj)SY(wj) Dynamic Coherence (Essaadi and Boutahar, 2010) TVCF 2

XY(wj,t) =

A2

XY(wj,t)

SX(wj,t)SY(wj,t)

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Presentation of the Spectral Analysis Cohesion in East Asia Stability test of TVCF Methodology

Cohesion in East Asia

Time-Varying Cohesion CohXiXj(w,t) =

∑

i=j

βij(t)βji(t)TVCFXiXj(w,t) ∑

i=j

βij(t)βji(t)

Extending the measurement of Croux et al,. (2001) :

Temporal dimension (t) Appropiate to the non-stationary process (TVCFXiXj (w,t))

Weighting by bilateral trade (βij)

To take into account the respective influence of each country in the region

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Presentation of the Spectral Analysis Cohesion in East Asia Stability test of TVCF Methodology

Cohesion in East Asia

Time-Varying Cohesion CohXiXj(w,t) =

∑

i=j

βij(t)βji(t)TVCFXiXj(w,t) ∑

i=j

βij(t)βji(t)

Extending the measurement of Croux et al,. (2001) :

Temporal dimension (t) Appropiate to the non-stationary process (TVCFXiXj (w,t))

Weighting by bilateral trade (βij)

To take into account the respective influence of each country in the region

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Presentation of the Spectral Analysis Cohesion in East Asia Stability test of TVCF Methodology

Cohesion in East Asia

Time-Varying Cohesion CohXiXj(w,t) =

∑

i=j

βij(t)βji(t)TVCFXiXj(w,t) ∑

i=j

βij(t)βji(t)

Extending the measurement of Croux et al,. (2001) :

Temporal dimension (t) Appropiate to the non-stationary process (TVCFXiXj (w,t))

Weighting by bilateral trade (βij)

To take into account the respective influence of each country in the region

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Presentation of the Spectral Analysis Cohesion in East Asia Stability test of TVCF Methodology

Cohesion in East Asia

Time-Varying Cohesion CohXiXj(w,t) =

∑

i=j

βij(t)βji(t)TVCFXiXj(w,t) ∑

i=j

βij(t)βji(t)

Extending the measurement of Croux et al,. (2001) :

Temporal dimension (t) Appropiate to the non-stationary process (TVCFXiXj (w,t))

Weighting by bilateral trade (βij)

To take into account the respective influence of each country in the region

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Presentation of the Spectral Analysis Cohesion in East Asia Stability test of TVCF Methodology

Cohesion in East Asia

Time-Varying Cohesion CohXiXj(w,t) =

∑

i=j

βij(t)βji(t)TVCFXiXj(w,t) ∑

i=j

βij(t)βji(t)

Extending the measurement of Croux et al,. (2001) :

Temporal dimension (t) Appropiate to the non-stationary process (TVCFXiXj (w,t))

Weighting by bilateral trade (βij)

To take into account the respective influence of each country in the region

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Presentation of the Spectral Analysis Cohesion in East Asia Stability test of TVCF Methodology

Tests of Bai and Perron (1998, 2003) TVCohwj,t

= µ1 + ut,

t = 1,...,T1, TVCohwj,t

= µ2 + ut,

t = T1 + 1,...,T2, . . . TVCohwj,t

= µm+1 + ut,

t = Tm + 1,...,T. Objects tests : detect breaks average (mean-shift) of the Time-Varying Cohesion endogenously determine the breakpoints where the change in terms of cohesion is significant Breakpoints : Changes in the underlying relationship between the economy and the region occur as a response to an exogenous event or a change in economic policy

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Presentation of the Spectral Analysis Cohesion in East Asia Stability test of TVCF Methodology

Three frequencies are considered : Long-run cycle (10 years) ; Medium cycle (2.5 years) and a short cycle (one year) The stability of the cycles is studied for three frequencies by focusing on two indicators :

the path graph of the spectral analysis (Evolutionary Spectral Analysis) for each of the countries studied test the presence of endogenous break

The Time-Varying of Coherency and the dynamics of bilateral trade

⇒ opportunity to study the variability of the synchronization

Time-Varying Cohesion describe the degree of synchronization of each country relative to the rest of the region

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Long-run Cycle Medium-run Cycle Short cycle Summary of the results Cointegration Test

Data

Data base Quarterly real GDP , seasonally adjusted and detrended with an HP filter (λ = 1600) Selected Countries Japan, China, Singapore, Hong Kong, Taiwan, South Korea, Thailand, Malaysia, Indonesia and Philippines Study period 1975 : Q1− 2007 : Q1

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Long-run Cycle Medium-run Cycle Short cycle Summary of the results Cointegration Test

0,0005 0,001 0,0015 0,002 0,0025 0,003 1 9 7 9 , 2 1 9 8 , 1 1 9 8 , 4 1 9 8 1 , 3 1 9 8 2 , 2 1 9 8 3 , 1 1 9 8 3 , 4 1 9 8 4 , 3 1 9 8 5 , 2 1 9 8 6 , 1 1 9 8 6 , 4 1 9 8 7 , 3 1 9 8 8 , 2 1 9 8 9 , 1 1 9 8 9 , 4 1 9 9 , 3 1 9 9 1 , 2 1 9 9 2 , 1 1 9 9 2 , 4 1 9 9 3 , 3 1 9 9 4 , 2 1 9 9 5 , 1 1 9 9 5 , 4 1 9 9 6 , 3 1 9 9 7 , 2 1 9 9 8 , 1 1 9 9 8 , 4 1 9 9 9 , 3 2 , 2 2 1 , 1 2 1 , 4 2 2 , 3 dates spectral densities sing mal ind tha phi sko tai hk chi jap

FIGURE: Estimation of Evolutionary Spectral Density of East Asian Business Cycle for 10 years

(π/20)

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Long-run Cycle Medium-run Cycle Short cycle Summary of the results Cointegration Test

TABLE: Structural change dates of Time-Varying Cohesion at π/20

Estimators

• T1
• T2
• T3
• T4
• T5

Philippines Break dates 1991Q2 1995Q2 2000Q3 Coefficients 0.7960 0.6654 0.5212 0.6554 Standard errors 0.0068 0.0128 0.0112 0.0128 Singapore Break dates 1989Q2 1996Q3 2000Q3 Coefficients 0.6905 0.5578 0.4026 0.6589 Standard errors 0.0153 0.0197 0.0266 0.0266 South Korea Break dates 1982Q2 1986Q2 1991Q2 2000Q3 Coefficients 0.7901 0.4544 0.6837 0.4266 0.6662 Standard errors 0.0260 0.0291 0.0260 0.0191 0.0291 Taiwan Break dates 1982Q4 1990Q4 1995Q3 2000Q3 Coefficients 0.8823 0.6781 0.7880 0.4392 0.5883 Standard errors 0.0148 0.0123 0.0160 0.0156 0.0174 Thailand Break dates 1983Q4 1988Q2 Coefficients 0.5975 0.7738 0.4750 Standard errors 0.0243 0.0292 0.0153

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Long-run Cycle Medium-run Cycle Short cycle Summary of the results Cointegration Test

0,0002 0,0004 0,0006 0,0008 0,001 1 9 7 9 , 2 1 9 8 , 1 1 9 8 , 4 1 9 8 1 , 3 1 9 8 2 , 2 1 9 8 3 , 1 1 9 8 3 , 4 1 9 8 4 , 3 1 9 8 5 , 2 1 9 8 6 , 1 1 9 8 6 , 4 1 9 8 7 , 3 1 9 8 8 , 2 1 9 8 9 , 1 1 9 8 9 , 4 1 9 9 , 3 1 9 9 1 , 2 1 9 9 2 , 1 1 9 9 2 , 4 1 9 9 3 , 3 1 9 9 4 , 2 1 9 9 5 , 1 1 9 9 5 , 4 1 9 9 6 , 3 1 9 9 7 , 2 1 9 9 8 , 1 1 9 9 8 , 4 1 9 9 9 , 3 2 , 2 2 1 , 1 2 1 , 4 2 2 , 3 dates spectral densities sing mal ind tha phi sko tai hk chi jap

FIGURE: Estimation of Evolutionary Spectral Density of East Asian Business Cycle for 2.5 years

(π/5)

Lessons are very close to those of the long cycle. After 1994, two groups of countries appear.

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Long-run Cycle Medium-run Cycle Short cycle Summary of the results Cointegration Test

Greater China TABLE: Structural change dates of Time-Varying Cohesion at π/5

Estimators

• T1
• T2
• T3
• T4

China Break dates 1992Q3 1997Q4 Coefficients 0.5193 0.3384 0.5297 Standard errors 0.0114 0.0195 0.0172 Hong Kong Break dates 1981Q3 1992Q3 1998Q1 Coefficients 0.3714 0.5165 0.3519 0.5262 Standard errors 0.0231 0.0143 0.0203 0.0187 Taiwan Break dates 1983Q1 1987Q1 1992Q2 1999Q1 Coefficients 0.5604 0.3320 0.7396 0.5433 0.6989 Standard errors 0.0191 0.0229 0.0200 0.0176 0.0195

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Long-run Cycle Medium-run Cycle Short cycle Summary of the results Cointegration Test

tests cohesion (Appendix E) strengthen our argument for a monetary union China, Hong Kong and Taiwan (Greater China), cohesion increases after 1997 for Thailand, Singapore, the Philippines and Mailaisie, increased after 2000-Q3 there is a decline in cohesion for South Korea, Japan and Indonesia, but remain at levels high enough for Thailand, Singapore, Malaysia and the Philippines, increased after 2000-Q3 there is a decline in Cohesion for South Korea, Japan and Indonesia, but remain at levels high enough

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Long-run Cycle Medium-run Cycle Short cycle Summary of the results Cointegration Test

the lowest density of our three frequencies but, with the exception of Indonesia, all countries in the sample tend to have comovements after 1992 differences in monetary policy insufficient coordination in economic policy objectives of short-term tests cohesion (Appendix E) confirmed there is nevertheless an increase of cohesion for China, Hong Kong, Taiwan, South Korea, Indonesia, Japan and the Philippines after 1997 Thailand after the 2000Q3

FIGURE: Evolutionary Spectral Density of East Asian Business Cycle for 1 year (π/2)

0,00002 0,00004 0,00006 0,00008 0,0001 0,00012 0,00014 1 9 7 9 , 2 1 9 8 , 1 1 9 8 , 4 1 9 8 1 , 3 1 9 8 2 , 2 1 9 8 3 , 1 1 9 8 3 , 4 1 9 8 4 , 3 1 9 8 5 , 2 1 9 8 6 , 1 1 9 8 6 , 4 1 9 8 7 , 3 1 9 8 8 , 2 1 9 8 9 , 1 1 9 8 9 , 4 1 9 9 , 3 1 9 9 1 , 2 1 9 9 2 , 1 1 9 9 2 , 4 1 9 9 3 , 3 1 9 9 4 , 2 1 9 9 5 , 1 1 9 9 5 , 4 1 9 9 6 , 3 1 9 9 7 , 2 1 9 9 8 , 1 1 9 9 8 , 4 1 9 9 9 , 3 2 , 2 2 1 , 1 2 1 , 4 2 2 , 3 dates spectral densities sing mal ind tha phi sko tai hk chi jap

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Long-run Cycle Medium-run Cycle Short cycle Summary of the results Cointegration Test

There is an increasing of the synchronization degree after 2000Q3 for the majority of the studied countries We distinguish different frequencies to see if this dynamic in integration process is a for the long-run, short run or in both.

Long cycle are more synchronized Short cycles are still influenced by policy responses of shocks

Compared to the literature results in line with those of Loayza et al. (2001), Chow and Kim (2003) and Lee et al. (2002) Contrary to Moneta and Rüffer (2006), Sato et al. (2007) and Rana (2007)

China and Japan share the same movements in common with other countries in the region over the last 10 years

unlike Bayoumi and Eichengreen (1994)

no subgroups are revealed, particularly for degree courses

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Long-run Cycle Medium-run Cycle Short cycle Summary of the results Cointegration Test

dynamics of bilateral trade (Appendix A)

Increase China and Japan the main partners

China is becoming the main partner for all other countries whether this process of trade integration is based on springs within the region (decoupling) or if it is explained by external factors

test the existence of a cointegrating relationship between the total intra-regional imports from China and the United States GDP

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions Long-run Cycle Medium-run Cycle Short cycle Summary of the results Cointegration Test

The engine of regional integration FIGURE: Total regional import of China and the US GDP in log

4,5 5 5,5 mport of China in Log 3 3,5 4 Q1 1981 Q4 1981 Q3 1982 Q2 1983 Q1 1984 Q4 1984 Q3 1985 Q2 1986 Q1 1987 Q4 1987 Q3 1988 Q2 1989 Q1 1990 Q4 1990 Q3 1991 Q2 1992 Q1 1993 Q4 1993 Q3 1994 Q2 1995 Q1 1996 Q4 1996 Q3 1997 Q2 1998 Q1 1999 Q4 1999 Q3 2000 Q2 2001 Q1 2002 Q4 2002 Q3 2003 Q2 2004 Q1 2005 Q4 2005 Q3 2006 Q2 2007 Q1 2008 Q4 2008 US GDP and total im Date lmchi lgdpus

Appendix F shows that there is a co-integration relationship. Regional integration is driven indirectly by external factors (US economy)

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions

Main results : Presence of non-linearity in the cycles of the countries studied Presence of a common cycle, especially after the 1997-1998 crisis Note that for all three frequencies, Appendix E shows that the structural change dates occur in the period 1996Q3-2000Q3 for most of the studied economies.

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions

Main results : Presence of non-linearity in the cycles of the countries studied Presence of a common cycle, especially after the 1997-1998 crisis Note that for all three frequencies, Appendix E shows that the structural change dates occur in the period 1996Q3-2000Q3 for most of the studied economies. Favorable outcome in a monetary union

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions

Main results : Presence of non-linearity in the cycles of the countries studied Presence of a common cycle, especially after the 1997-1998 crisis Note that for all three frequencies, Appendix E shows that the structural change dates occur in the period 1996Q3-2000Q3 for most of the studied economies. Favorable outcome in a monetary union But external factors continue to play a main role of the business cycles synchronization East Asia.

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010

Motivation Literature Empirical methodology Result Conclusions

Main results : Presence of non-linearity in the cycles of the countries studied Presence of a common cycle, especially after the 1997-1998 crisis Note that for all three frequencies, Appendix E shows that the structural change dates occur in the period 1996Q3-2000Q3 for most of the studied economies. Favorable outcome in a monetary union But external factors continue to play a main role of the business cycles synchronization East Asia. Outlook Deepen the relationship between bilateral trade and business cycle synchronization for this zone Analyze shocks affecting countries of the region and their answers from SVAR models

Jean-Pierre ALLEGRET Essahbi ESSAADI 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis. Lux2010