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Extremal Dependence in International Output Growth: Tales from the Tails

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  • Miguel Carvalho
  • António Rua

Abstract

type="main" xml:id="obes12032-abs-0001"> This article explores the comovement of the economic activity of several OECD countries during periods of large negative and positive growth. Extremal dependence measures are here applied to assess the degree of cross-country tail dependence of output growth rates. Our main empirical findings are: (i) cross-country tail dependence is much stronger during periods of large negative growth, than during the ones of large positive growth; (ii) cross-country growth is asymptotically independent; (iii) cross-country tail dependence is considerably stronger than the one arising from a Gaussian dependence model. In addition, our results suggest that, among the typical determinants for explaining international output growth synchronization, only economic specialization similarity seems to play a role during such extreme periods.

Suggested Citation

  • Miguel Carvalho & António Rua, 2014. "Extremal Dependence in International Output Growth: Tales from the Tails," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(4), pages 605-620, August.
    • Handle: RePEc:bla:obuest:v:76:y:2014:i:4:p:605-620
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    File URL: http://hdl.handle.net/10.1111/obes.2014.76.issue-4
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    References listed on IDEAS

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    1. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    2. Sala-i-Martin, Xavier, 1997. "I Just Ran Two Million Regressions," American Economic Review, American Economic Association, vol. 87(2), pages 178-183, May.
    3. Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," The Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.
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    Cited by:

    1. de Carvalho, Miguel & Rua, António, 2017. "Real-time nowcasting the US output gap: Singular spectrum analysis at work," International Journal of Forecasting, Elsevier, vol. 33(1), pages 185-198.

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    More about this item

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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