Worldwide synchronization since the nineteenth century: a wavelet-based view

Abstract

Resorting to wavelet analysis, a novel measure is used to assess synchronization of economic activity across a large set of countries. As it has long been acknowledged in the literature that synchronization can vary over time and may depend on the type of fluctuation, the use of a wavelet-based measure of synchronization becomes particularly useful as it can capture both time and frequency varying features within a unified framework. Considering the period since 1870s up to 2011 for a set of 23 countries, it is found that worldwide synchronization has increased over the last decades and it has attained an unprecedented level during the Great Recession.

Keywords:

• synchronization
• wavelets
• time-frequency
• output growth

JEL Classification:

• C40
• E32
• F40
• N10

Notes

¹ See, for example, Kalemli-Ozcan et al. (2001) for a theoretical discussion of the effects of economic integration on output fluctuations synchronization.