Historical decoupling in the EU: Evidence from time-frequency analysis

• Published in: International review of economics & finance Vol. 60; pp. 265 - 280
• Main Authors: Kapounek, Svatopluk, Kučerová, Zuzana
• Format: Journal Article
• Language: English
• Published: Elsevier Inc 01-03-2019
• Subjects: Business cycles; OCA theory; Phase shift; Time-series comovements; Wavelet coherence; Business cycles; Phase shift; E32; Wavelet coherence; C14; Time-series comovements; OCA theory; F15
• ISSN: 1059-0560; 1873-8036
• DOI: 10.1016/j.iref.2018.10.018

We investigate economic cycle comovements and identify directions of relationships to discuss the spread of asymmetric shocks across the European Union during the twenty years from the euro adoption. We contribute to traditional wavelet analyses with an updated historical overview of economic cycle comovements in 24 EU countries over 35 years with particular attention to the main milestones in the European integration process.
We show the significant economic cycle synchronisation between France and the EU and point out the decoupling of Germany, the United Kingdom and countries in Southern Europe. In addition we find strong evidence of comovements between the three Baltic countries. Our results do not support the idea of increasing business cycle synchronisation of monetary union members, despite European economic integration deepening.