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Historical Decoupling in the EU: Evidence from Time-Frequency Analysis

Author

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  • Svatopluk Kapounek

    (Department of Finance, Faculty of Business and Economics, Mendel University in Brno)

  • Zuzana Kucerova

    (Department of Finance, Faculty of Business and Economics, Mendel University in Brno)

Abstract

We investigate economic cycle comovements across the European Union after twenty years from euro adoption. We demonstrate the cycle comovement between France and the EU and the decoupling of Germany, the United Kingdom and countries in Southern Europe. We find that the Baltic countries represent a single economic area with common shocks. Using wavelet coherence analysis with phase shift, we identify directions of causal relationships and discuss the spread of asymmetric shocks across the European Union. Our results do not fully support the idea that monetary integration increases the synchronisation of economic cycles of monetary union members.

Suggested Citation

  • Svatopluk Kapounek & Zuzana Kucerova, 2018. "Historical Decoupling in the EU: Evidence from Time-Frequency Analysis," MENDELU Working Papers in Business and Economics 2018-75, Mendel University in Brno, Faculty of Business and Economics.
    • Handle: RePEc:men:wpaper:75_2018
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    Cited by:

    1. Maciej Ryczkowski, 2020. "Money and credit during normal times and house price booms: evidence from time-frequency analysis," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(4), pages 835-861, November.
    2. Saulius Jokubaitis & Dmitrij Celov, 2022. "Business Cycle Synchronization in the EU: A Regional-Sectoral Look through Soft-Clustering and Wavelet Decomposition," Papers 2206.14128, arXiv.org.
    3. Rathke, Alexander & Streicher, Sina & Sturm, Jan-Egbert, 2022. "How similar are country- and sector-responses to common shocks within the euro area?," Journal of International Money and Finance, Elsevier, vol. 120(C).

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    More about this item

    Keywords

    OCA Theory; Economic Cycles; Time-series co-movements; Wavelet Analysis; Phase Shift;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F15 - International Economics - - Trade - - - Economic Integration
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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