C15 Simulation Methods

Currency Union, Free Trade Areas, and Business Cycle Synchronization

JEL code(s)	C12 Hypothesis Testing C13 Estimation C14 Semiparametric and Nonparametric Methods C15 Simulation Methods C32 Multiple or Simultaneous Equation Models: Time-Series Models E32 Business Fluctuations; Cycles F15 Economic Integration
Keywords	Bootstrap Methods, Cycle Synchronization, Hypothesis Testing
Authors:	Pierangelo De Pace
Date published:	March 1, 2010
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 evidence of significantly 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.
Paper:	Download the paper [763.69 KB]

JEL code(s)	C12 Hypothesis Testing C13 Estimation C14 Semiparametric and Nonparametric Methods C15 Simulation Methods C32 Multiple or Simultaneous Equation Models: Time-Series Models E32 Business Fluctuations; Cycles F15 Economic Integration
Keywords	Bootstrap Methods, Cycle Synchronization, Hypothesis Testing
Authors:	Pierangelo De Pace
Date published:	March 27, 2011
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.
Paper:	Download the paper [737.37 KB]

JEL code(s)	C11 Bayesian Analysis C15 Simulation Methods E31 Price Level; Inflation; Deflation E32 Business Fluctuations; Cycles E52 Monetary Policy
Keywords	Bayesian estimation, DSGE models, inflation persistence, second order approximations, sequential Monte Carlo
Series Number:	EABCN/CEPR Discussion Paper 37/2007
Authors:	Giovanni Amisano Oreste Tristani
Date published:	July 1, 2007
Abstract:	We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference compared to the estimation of the linearised model. We also show that the nonlinear model can account for richer economic dynamics: the impulse responses to structural shocks vary depending on initial conditions selected within our estimation sample.
Paper:	Download the paper [388.27 KB]