418
Views
6
CrossRef citations to date
0
Altmetric
Selected Papers from the Third Forum on Risk Management and Financial Statistics. Guest Editor: Zhenghui Li, Guangzhou University

Comovement between the Chinese Business Cycle and Financial Volatility: Based on a DCC-MIDAS Model

, , &

References

  • Ahmed, J., S. M. Chaudhry, and S. Straetmans. 2017. Business and financial cycles in the Eurozone: Synchronization or decoupling. Manchester School 86 (3):358–89. doi:10.1111/manc.12188.
  • Artis, M. J., Z. G. Kontolemis, and D. R. Osborn. 1997. Business cycles for G7 and European Countries. Journal of Business 70 (2):249–79. doi:10.1086/209717.
  • Backus, D., P. Kehoe, and F. Kydland. 1992. Dynamics of the trade balance and the terms of trade: The J curve revisited. Finn E Kydland 45:89–93.
  • Bagehot, W. 1873. Lombard street: A description of the money market. London: HS King.
  • Bai, J., and P. Perron. 2003. Computation and analysis of multiple structural-change models. Journal of Applied Economics 18 (1):1–22. doi:10.1002/(ISSN)1099-1255.
  • Belke, A. 2007. Endogenous optimum currency areas and the blend of sectors-on the determinants of business cycle correlation across European Regions. Journal of Economic Integration 22 (1):26–49. doi:10.11130/jei.2007.22.1.26.
  • Brand, C., and F. Seitz. 2003. Narrow money and the business cycle: Theoretical aspects and euro area evidence. Macroeconomics 3:246–62.
  • Bry, G., and C. Boschan. 1971. Standard business cycle analysis of economic time series. In Cyclical Analysis of Time Series: Selected Procedures and Computer Programs (pp. 64–150). NBEr.
  • Canova, F., and H. Dellas. 1993. Trade interdependence and the international business cycle. Journal of International Economics 34 (1–2):23–47. doi:10.1016/0022-1996(93)90065-6.
  • Chen, K., Y. Zhou, and L. Gong. 2004. Analysis of the fluctuation of china business cycle: Application of filtering methods. Journal of World Economy 10:47–56.
  • Colacito, R., R. F. Engle, and E. Ghysels. 2011. A component model for dynamic correlations. Journal of Econometrics 164 (1):45–59. doi:10.1016/j.jeconom.2011.02.013.
  • Duval, M. R. A., Cheng, M. K. C., Oh, K. H., Saraf, R., & Seneviratne, M. D. 2014. Trade integration and business cycle synchronization: A reappraisal with focus on Asia. 14(52):1–20. International Monetary Fund. doi:10.5089/9781475522464.001.
  • Engle, R. 2002. Dynamic conditional correlation-a simple class of multivariate GARCH models, mimeo. Ssrn Electronic Journal 20 (3):339–50.
  • Engle, R. F., and J. Marcucci. 2006. A long-run pure variance common features model for the common volatilities of the Dow Jones. Journal of Econometrics 132 (1):7–42. doi:10.1016/j.jeconom.2005.01.021.
  • Foroni, C., and M. G. Marcellino. 06 2013. A survey of econometric methods for mixed-frequency data. Norges Bank Working papers.
  • Gertler, M., and N. Kiyotaki. 2010. Financial intermediation and credit policy in business cycle analysis. Handbook of Monetary Economics 3 (3):547–99.
  • Guo, Y. 2006. The influence analysis of world’s major economics to Chinese economic cycle undulation. Journal of Zhengzhou Institute of Aeronautical Industry Management 24 (6):36–39.
  • Javed, F. 11, 2012. Dynamic conditional correlation among EU countries: A DCC-MIDAS approach. Lund University Working papers, .
  • Karadimitropoulou, A. 2018. Advanced economies and emerging markets: Dissecting the drivers of business cycle synchronization. Journal of Economic Dynamics and Control 93:115–30. doi:10.1016/j.jedc.2018.01.029.
  • Koenig, E. F., S. Dolmas, and J. Piger. 2003. The use and abuse of real time data in economic forecasting. The Review of Economics and Statistics 85:618–28. doi:10.1162/003465303322369768.
  • Li, Z., Z. Wang, and Z. Huang. 2017. Modeling business cycle with financial shocks basing on kaldor-kalecki model. Quantitative Finance and Economics 1 (1):44–66. doi:10.3934/QFE.2017.1.44.
  • Lucas, R. E. J. 1977. Some international evidence on output-inflation tradeoffs: Reply. General Information 67 (4):731.
  • Mishki, S. F. 1999. Lessons from the crisis. Journal of International Money and Finance 18:709–23. doi:10.1016/S0261-5606(99)00020-0.
  • Qin, W., Y. Jin, and Y. Bo. 2002. Correlation analysis of China economic cycle and international business cycle. Study and Practice 2:150–55.
  • Ren, Z., and Y. Song. 2004. A study on the relationship between domestic trade and economic cycle coordination in China and Foreign Countries. Statistical Research 21 (5):17–20.
  • Styliani, C. 2014. The effect of currency unions on business cycle correlations: The EMU case. Empirica 41 (2):177–222. doi:10.1007/s10663-012-9207-6.
  • Thomas, J., and G. Ogum. 2003. Nominal exchange rate volatility and business cycle: Evidence from South Africa. African Finance Journal 5.2:21–43.
  • Tsalas, A., and P. Monokroussos. 2018. PIIGS in and out of sync: The changing face of financial business cycle synchronization in Europe. Quantitative Finance and Economics 2 (1):261–78. doi:10.3934/QFE.2018.1.261.
  • Vu, N. T. 2015. Stock market volatility and international business cycle dynamics: Evidence from OECD economies. Journal of International Money and Finance 50:1–15. doi:10.1016/j.jimonfin.2014.08.003.
  • Wang, S., and J. Hu. 2009. Trend-cycle decomposition and stochastic impact effect of Chinese GDP. Economic Research Journal 4:65–76.
  • Wang, Y. 2007. A comparative study of the business cycles of China and the United States. Foreign Affairs Review 4:100–05.
  • Wynne, M. A., and J. Koo. 2000. Business cycles under monetary union: A comparison of the EU and US. Economica 67 (267):347–374 (28). doi:10.1111/ecca.2000.67.issue-267.
  • Xu, D., P. Zhu, and H. Liu. 2005. About the business cycle asymmetry in Chinese Economy. Journal of Finance and Economics 31 (4):13–21.
  • Yao, Y., and Z. Liu. 2017. Dynamic correlations among Shanghai, Shenzhen and Hong Kong stock markets: Based on DCC-MIDAS model. Journal of Systems Science and Mathematical Sciences 38 (8): 1780–1789.
  • Zarnowitz, V. Business cycles analysis and expectational survey data. NBER Working Paper No. 1378, 1984.
  • Zheng, T., and X. Wang. 2010. Real time estimates of the Chinese output gap and the reliability analysis. Economic Research Journal 10:129–42.
  • Zheng, Y., and S. Liu. 2017. A dynamic analysis of the business cycle model with a fixed-time lag. Quantitative Finance and Economics 1 (2):174–85. doi:10.3934/QFE.2017.2.174.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.