Historical decoupling in the EU: Evidence from time-frequency analysis

We investigate economic cycle comovements and identify directions of relationships to discuss the spread of asymmetric shocks across the European Union during the twenty years from the euro adoption. We contribute to traditional wavelet analyses with an updated historical overview of economic cycle...

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Bibliographic Details
Published inInternational review of economics & finance Vol. 60; pp. 265 - 280
Main Authors Kapounek, Svatopluk, Kučerová, Zuzana
Format Journal Article
LanguageEnglish
Published Elsevier Inc 01.03.2019
Subjects
Business cycles
OCA theory
Phase shift
Time-series comovements
Wavelet coherence
Business cycles
Phase shift
E32
Wavelet coherence
C14
Time-series comovements
OCA theory
F15
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Summary:We investigate economic cycle comovements and identify directions of relationships to discuss the spread of asymmetric shocks across the European Union during the twenty years from the euro adoption. We contribute to traditional wavelet analyses with an updated historical overview of economic cycle comovements in 24 EU countries over 35 years with particular attention to the main milestones in the European integration process. We show the significant economic cycle synchronisation between France and the EU and point out the decoupling of Germany, the United Kingdom and countries in Southern Europe. In addition we find strong evidence of comovements between the three Baltic countries. Our results do not support the idea of increasing business cycle synchronisation of monetary union members, despite European economic integration deepening.
ISSN:1059-0560
1873-8036
DOI:10.1016/j.iref.2018.10.018