EMU Membership and Business Cycle Phases in Europe: Markov-Switching VAR Analysis

Michel A. R. Beine · Bertrand Candelon · Khalid Sekkat

26 citations0/0 files storedJournal of Economic Integration

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Global Financial Crisis and Policies Monetary Policy and Economic Impact European Monetary and Fiscal Policies

Abstract

Most empirical applications of the OCA approach based on asymmetric shocks have failed to account for the credibility aspects that play an important role in deciding to join the EMU from the EMS or the EMS-BIS.In this paper, we tackle this problem by relying on a regime switching approach that characterizes the position of each economy in its business cycle.Then, using desynchronisation indices based on a non parametric approach, we measure the amplitude and the duration of divergence in the business cycles in order to assess the potential stabilization cost induced by the European economic and monetary union.

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1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1961A Theory of Optimum Currency Areas 1991Optimum Currency Areas 1993Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data 1999Monetary Policy Rules 1947Measuring Business Cycles 1991International Evidence on the Historical Properties of Business Cycles 1992Shocking Aspects of European Monetary Unification

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