CURRENCY UNION, FREE-TRADE AREAS, AND BUSINESS CYCLE SYNCHRONIZATION

Pierangelo De Pace

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Global Financial Crisis and Policies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

Abstract

Since the 1970s the characteristics of international business cycles have changed and deeper economic integration has modified the features of cross-country comovement. We formally test for correlation shifts in measures of real economic activity and economic/financial integration. In Europe we find some statistically significant evidence of higher correlations following the creation of the EMU in 1999 for several subgroups of countries. We detect significantly more pronounced correlations between Mexico and the US and between Mexico and Canada in North America after the enforcement of the NAFTA in 1994. Results are derived from an econometric framework based on nonparametric iterated stationary bootstrap methods, whose statistical reliability and performance we assess through Monte Carlo simulations.

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1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1997Postwar U.S. Business Cycles: An Empirical Investigation 2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach 1995International R&D spillovers 1998The Endogenity of the Optimum Currency Area Criteria 2001What have we learned from a decade of empirical research on growth? It's Not Factor Accumulation: Stylized Facts and Growth Models 1993Detrending, stylized facts and the business cycle 2004When it Rains, it Pours: Procyclical Capital Flows and Macroeconomic Policies

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