EU商业周期同步的演变1981-2007
The evolution of EU business cycle synchronisation 1981-2007
摘要：
商业周期同步文献中使用的大多数分析技术都依赖于对宏观经济总量的时间序列数据的经验相关矩阵的估计，实际国内生产总值通常是关键变量。但是，可用的观测数据数量少，经济体数量少，这意味着经验相关矩阵可能包含相当大的噪声。随机矩阵理论在物理学中被发展来克服这个问题。相关矩阵的最大特征值直接告诉我们经济体的运动真正相关的程度。商业周期同步性的演变可以用固定数据窗口上最大特征值的时间演变来分析。我分析了1981年第一季度至2008年第一季度欧盟核心经济体-德国，法国，意大利，西班牙，荷兰，比利时-以及英国，这是欧盟成员国，但不是欧元，和美国作为比较。欧盟核心经济体在整个时期表现出不同但强烈的同步性。相比之下，英国和美国之间的同步性要比它们与欧盟核心经济体之间的同步性高得多。
英文摘要：
Most of the analytical techniques used in the business cycle synchronisation literature rely upon the estimation of an empirical correlation matrix of time series data of macroeconomic aggregates, real GDP usually being the key variable. But the small number of available observations and small number of economies mean that the empirical correlation matrix may contain considerable noise. Random matrix theory was developed in physics to overcome this problem. The largest eigenvalue of the correlation matrix informs us directly about the degree to which movements of the economies are genuinely correlated. The evolution of business cycle synchronisation can be analysed with the temporal evolution of the largest eigenvalue over a fixed window of data. I analyse quarterly real GDP data 1981Q1-2008Q1 for the core EU economies - Germany, France, Italy, Spain, Netherlands, Belgium - along with the UK, which is a member of the EU but not the Euro, and the US as a comparator. The core EU economies have shown varying but strong synchronisation over the whole period. In contrast, the UK and the US are much more synchronised with each other than they are with the core EU economies.
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