Synchronization of business cycles in Poland and the euro zone ? the wavelet domain approach
DOI:
https://doi.org/10.12775/EQUIL.2009.017Abstract
In the paper time-scale (wavelet) analysis is suggested as a tool for examining business cycle synchronization. Wavelet analysis enables to examine stochastic processes simultaneously in the time and frequency domains. Due to this the approach makes it possible to investigate time varying frequency components of economic processes. Among such components one can distinguish cycles of length over one year up to twelve years, which are known as business cycles (see Burns and Mitchell, 1946). In the paper this approach is illustrated with an examination of business cycle synchronization between Poland and its main trading partners in the euro zone: Germany, France, Italy and the Netherlands. The empirical analysis confirms the stylized facts on the Polish business cycle: its length, similarity with the German cycle and the lead-lag relations with national cycles in the euro zone. Besides, verification of the OCA endogenity hypothesis has been undertaken, but the results obtained are ambiguous.
Downloads
Download data is not yet available.
References
Adamowicz E., Dudek S., Pachucki D., Walczyk K. (2009), Synchronizacja cyklu koniunkturalnego polskiej gospodarki z krajami strefy euro w kontekście struktur tych gospodarek, w: Raport na temat pełnego uczestnictwa Rzeczpospolitej Polskiej w trzecim etapie Unii Gospodarczej i Walutowej, Projekty badawcze, cz. I, 8-224, NBP, http://www.nbp.pl/Publikacje/O-Euro/RE11.pdf.
Backus D. K., Kehoe P. J. (1992), International Evidence of the Historical Properties of Business Cycles, American Economic Review, 82, 864-888.
Backus D. K., Kehoe P. J., Kydland F. E. (1992), International Real Business Cycles, Journal of Political Economy, 100, 745-775.
Barczyk R., Kąsek L., Lubiński M., Marczewski K. (2006), Nowe oblicza cyklu koniunkturalnego, Polskie Wydawnictwo Ekonomiczne, Warszawa.
Bruzda J. (2008), Czasowo-skalowa analiza cykli koniunkturalnych w Polsce i strefie euro, referat prezentowany na konferencji: Statystyka publiczna jedną z podstaw samorządności w państwie demokratycznym, Toruń, 16-18.04.2008, w druku.
Burns A. F., Mitchell W. C. (1946), Measuring Business Cycle, National Bureau of Economic Research, Nowy Jork.
Crowley P. M. (2007), A Guide to Wavelets for Economists, Journal of Economic Surveys, 21, 207-267.
Crowley P. M., Lee J. (2005), Decomposing the Co-movement of the Business Cycle: A Time-Frequency Analysis of Growth Cycles In the Euro Area, Bank of Finland Research Discussion Papers, 12.
Eichengreen B. (1991), Is Europe an Optimum Currency Area?, National Bureau of Economic Research Working Papers, 3579.
Frankel J., Rose A. (1998), The Endogenity of the Optimum Currency Area Criteria, The Economic Journal, 108, 1009-1025.
Gençay R. F., Selçuk F., Whitcher B. (2002), An Introduction to Wavelets and Other Filtering Methods in Finance and Economics, Academic Press, San Diego.
Gonçalves E. S., Rodrigues M., Soares T. (2009), Correlation of Business Cycles in the Euro Zone, Economics Letters, 102, 56-58.
Grinsted A., Moore J. C., Jevrejeva S. (2004), Application of the Cross Wavelet Transform and Wavelet Coherence to Geophysical Time Series, Nonlinear Processes in Geophysics, 11, 561-566.
Imbs J. (2004), Trade, Finance, Specialization, and Synchronization, Review of Economics and Statistics, 86, 723-734.
Jagrič T., Ovin R. (2004), Method of Analyzing Business Cycles in a Transition Economy: The Case of Slovenia, The Developing Economies, 42, 42-62.
Konopczak K. (2009), Analiza zbieżności cyklu koniunkturalnego gospodarki polskiej ze strefą euro na tle krajów Europy Środkowo-Wschodniej oraz państw członkowskich strefy, w: Raport na temat pełnego uczestnictwa Rzeczpospolitej Polskiej w trzecim etapie Unii Gospodarczej i Walutowej, Projekty badawcze, cz. III, 68-104, NBP, http://www.nbp.pl/Publikacje/O-Euro/RE13n.pdf.
Krugman P. (1993), Lessons of Massachusetts for EMU, w: F. S. Torres, F. Giavazzi (red.) Adjustment and Growth In the European Monetarny Union, Cambridge University Press, Cambridge, 241-261.
Lucas R. E. (1977), Understanding Business Cycles, Carnegie-Rochester Conference Series on Public Policy, 5, 7-29.
Mitchell W. C. (1927), Business Cycles: The Problem and Its Setting, National Bureau of Economic Research, New York.
Pangsy-Kania S., Piech K. (red.) (2003), Diagnozowanie koniunktury gospodarczej w Polsce, Dom Wydawniczy Elipsa, Warszawa.
Percival D. B., Walden A. T. (2000), Wavelet Methods for Time Series Analysis, Cambridge University Press, Cambridge.
Raihan S. M., Wen Y., Zeng B. (2005), Wavelet: A New Tool for Business Cycle Analysis, Federal Reserve Bank of St. Louis Working Paper Series, 2005-050A.
Ramsey J. B. (2002), Wavelets in Economics and Finance: Past and Future, Studies in Nonlinear Dynamics and Econometrics, 6(3), art. 1.
Schleicher C. (2002), An Introduction to Wavelets for Economists, Bank of Canada Working Papers, 2002-3.
Skrzypczyński P. (2008), Wahania aktywności gospodarczej w Polsce i strefie euro, Materiały i Studia, 227.
Talaga L., Zieliński Z. (1986), Analiza spektralna w modelowaniu ekonometrycznym, PWN, Warszawa.
Torrence C., Combo G. P. (1998), A Practical Guide to Wavelet Analysis, Bulletin of the American Meteorological Society, 79, 61-78.
Backus D. K., Kehoe P. J. (1992), International Evidence of the Historical Properties of Business Cycles, American Economic Review, 82, 864-888.
Backus D. K., Kehoe P. J., Kydland F. E. (1992), International Real Business Cycles, Journal of Political Economy, 100, 745-775.
Barczyk R., Kąsek L., Lubiński M., Marczewski K. (2006), Nowe oblicza cyklu koniunkturalnego, Polskie Wydawnictwo Ekonomiczne, Warszawa.
Bruzda J. (2008), Czasowo-skalowa analiza cykli koniunkturalnych w Polsce i strefie euro, referat prezentowany na konferencji: Statystyka publiczna jedną z podstaw samorządności w państwie demokratycznym, Toruń, 16-18.04.2008, w druku.
Burns A. F., Mitchell W. C. (1946), Measuring Business Cycle, National Bureau of Economic Research, Nowy Jork.
Crowley P. M. (2007), A Guide to Wavelets for Economists, Journal of Economic Surveys, 21, 207-267.
Crowley P. M., Lee J. (2005), Decomposing the Co-movement of the Business Cycle: A Time-Frequency Analysis of Growth Cycles In the Euro Area, Bank of Finland Research Discussion Papers, 12.
Eichengreen B. (1991), Is Europe an Optimum Currency Area?, National Bureau of Economic Research Working Papers, 3579.
Frankel J., Rose A. (1998), The Endogenity of the Optimum Currency Area Criteria, The Economic Journal, 108, 1009-1025.
Gençay R. F., Selçuk F., Whitcher B. (2002), An Introduction to Wavelets and Other Filtering Methods in Finance and Economics, Academic Press, San Diego.
Gonçalves E. S., Rodrigues M., Soares T. (2009), Correlation of Business Cycles in the Euro Zone, Economics Letters, 102, 56-58.
Grinsted A., Moore J. C., Jevrejeva S. (2004), Application of the Cross Wavelet Transform and Wavelet Coherence to Geophysical Time Series, Nonlinear Processes in Geophysics, 11, 561-566.
Imbs J. (2004), Trade, Finance, Specialization, and Synchronization, Review of Economics and Statistics, 86, 723-734.
Jagrič T., Ovin R. (2004), Method of Analyzing Business Cycles in a Transition Economy: The Case of Slovenia, The Developing Economies, 42, 42-62.
Konopczak K. (2009), Analiza zbieżności cyklu koniunkturalnego gospodarki polskiej ze strefą euro na tle krajów Europy Środkowo-Wschodniej oraz państw członkowskich strefy, w: Raport na temat pełnego uczestnictwa Rzeczpospolitej Polskiej w trzecim etapie Unii Gospodarczej i Walutowej, Projekty badawcze, cz. III, 68-104, NBP, http://www.nbp.pl/Publikacje/O-Euro/RE13n.pdf.
Krugman P. (1993), Lessons of Massachusetts for EMU, w: F. S. Torres, F. Giavazzi (red.) Adjustment and Growth In the European Monetarny Union, Cambridge University Press, Cambridge, 241-261.
Lucas R. E. (1977), Understanding Business Cycles, Carnegie-Rochester Conference Series on Public Policy, 5, 7-29.
Mitchell W. C. (1927), Business Cycles: The Problem and Its Setting, National Bureau of Economic Research, New York.
Pangsy-Kania S., Piech K. (red.) (2003), Diagnozowanie koniunktury gospodarczej w Polsce, Dom Wydawniczy Elipsa, Warszawa.
Percival D. B., Walden A. T. (2000), Wavelet Methods for Time Series Analysis, Cambridge University Press, Cambridge.
Raihan S. M., Wen Y., Zeng B. (2005), Wavelet: A New Tool for Business Cycle Analysis, Federal Reserve Bank of St. Louis Working Paper Series, 2005-050A.
Ramsey J. B. (2002), Wavelets in Economics and Finance: Past and Future, Studies in Nonlinear Dynamics and Econometrics, 6(3), art. 1.
Schleicher C. (2002), An Introduction to Wavelets for Economists, Bank of Canada Working Papers, 2002-3.
Skrzypczyński P. (2008), Wahania aktywności gospodarczej w Polsce i strefie euro, Materiały i Studia, 227.
Talaga L., Zieliński Z. (1986), Analiza spektralna w modelowaniu ekonometrycznym, PWN, Warszawa.
Torrence C., Combo G. P. (1998), A Practical Guide to Wavelet Analysis, Bulletin of the American Meteorological Society, 79, 61-78.
Downloads
Published
2009-12-31
How to Cite
Bruzda, J. (2009). Synchronization of business cycles in Poland and the euro zone ? the wavelet domain approach. Equilibrium. Quarterly Journal of Economics and Economic Policy, 3(2), 9–25. https://doi.org/10.12775/EQUIL.2009.017
Issue
Section
Monetary policy under European Union monetary integration
