經濟學系講座: Network Analysis of Business Cycle Synchronisation

講者: Yongcheol SHIN教授/英國約克大學經濟學與相關學系教授

日期: 5/6/2025 (四)

時間: 14:00-15:15

語言: 英語

地點: E21B-G002

內容: To investigate the fundamental relationship between business cycle synchronisation (BCS) and trade/finance intensities, we develop the simultaneous equation panel data model that accommodates all the key elements: simultaneity, spatial spillovers, global shocks and parameter heterogeneity. We propose the consistent CCEX-2SLS estimator, and conduct a spatial network analysis to investigate the direct and indirect impacts of trade/finance intensities on the BCS across country-pairs or the selected clusters. We apply the proposed approach to the dataset consisting of the 136 pairs of the 17 OECD countries over 1995Q1-2019Q4, and convincingly unveil: (i) the individual CCEX-2SLS estimation results demonstrate the importance of explicitly taking parameter heterogeneity into account; (ii) almost 90% of the samples belong to cases where the direct and indirect effects of trade/finance intensities on BCS display opposite signs; (iii) we observe the surprisingly negative total effect of trade intensity on BSC and negative spillovers of trade and financial intensities on BCS. This implies that the optimal currency area (OCA) criteria have not yet fulfilled in the EU and suggests that policymakers coordinate across borders and mitigate adverse economic fluctuations to facilitate trade/financial intensities for improved BCS.