IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/46115.html
   My bibliography  Save this paper

Le Cycle des affaires dans les pays MENA Une Application du Filtre Hodrick-Prescott
[The Business Cycle in MENA Application of a Hodrick-Prescott Filter]

Author

Listed:
  • Bouoiyour, Jamal
  • Ibourk, Aomar

Abstract

The purpose of this paper is to analyze monetary integration through the correlation of business cycles across countries. In this context, different estimation methods have been used in real GDP data (Dollars in base 1995) for 8 Southern Mediterranean countries of the (SMC) and covering the period 1960-2004. The results show that i) the cross-correlation of business cycles are very low, ii) SMC have very different cycles and therefore they do not fulfill the criteria of the OCA theory. To refine these results, we distinguished two groups of countries, the AMU countries and those of the Middle East. Correlations remain low despite the consolidation. However, the correlation matrix of long cycles gives interesting results since in most cases; long cycles are well correlated except in the case of Syria and Turkey. The results, taken together, show the difficulty of implementing a monetary union between PSM.

Suggested Citation

  • Bouoiyour, Jamal & Ibourk, Aomar, 2005. "Le Cycle des affaires dans les pays MENA Une Application du Filtre Hodrick-Prescott [The Business Cycle in MENA Application of a Hodrick-Prescott Filter]," MPRA Paper 46115, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:46115
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/46115/1/MPRA_paper_46115.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Guilhem Bentoglio & Jacky Fayolle & Matthieu Lemoine, 2002. "La croissance européenne perturbée par un cycle de courte période," Économie et Statistique, Programme National Persée, vol. 359(1), pages 83-100.
    2. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    3. Regina Kaiser & Agustín Maravall, 1999. "Estimation of the business cycle: A modified Hodrick-Prescott filter," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(2), pages 175-206.
    4. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
    5. Carine Bouthevillain, 1996. "Les cycles des grands pays industrialisés. des croissances plus proches mais des zones déphasées," Économie et Statistique, Programme National Persée, vol. 298(1), pages 71-91.
    6. Baghli, M. & Bouthevilain, C. & De Bandt, O. & Fraisse, H. & Le Bihan, H. & Rousseaux, P., 2002. "PIB potentiel et écart de PIB : quelques évaluations pour la France," Working papers 89, Banque de France.
    7. Guilhem Bentoglio & Jacky Fayolle & Matthieu Lemoine, 2001. "Unité et pluralité du cycle européen," Revue de l'OFCE, Presses de Sciences-Po, vol. 78(3), pages 9-73.
    8. Torben Mark Pedersen, 1998. "The Hodrick-Prescott Filter, the Slutzky Effect, and the Distortionary Effect of Filters," Discussion Papers 98-09, University of Copenhagen. Department of Economics.
    9. repec:hal:spmain:info:hdl:2441/2130 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Verne, Jean-François, 2011. "Les principales caractéristiques du cycle économique et de la croissance tendancielle au Liban," L'Actualité Economique, Société Canadienne de Science Economique, vol. 87(2), pages 117-136, juin.
    2. Artis, Michael, 2002. "Dating the Business Cycle in Britain," National Institute Economic Review, National Institute of Economic and Social Research, vol. 182, pages 90-95, October.
    3. Guilhem Bentoglio & Jacky Fayolle & Matthieu Lemoine, 2002. "La croissance européenne perturbée par un cycle de courte période," Économie et Statistique, Programme National Persée, vol. 359(1), pages 83-100.
    4. Viv B. Hall & Peter Thomson, 2021. "Does Hamilton’s OLS Regression Provide a “better alternative” to the Hodrick-Prescott Filter? A New Zealand Business Cycle Perspective," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 151-183, November.
    5. Jorg Scheibe, 2003. "The Chinese Output Gap During the Reform Period 1978-2002," Economics Series Working Papers 179, University of Oxford, Department of Economics.
    6. John Marangos & Vasiliki Fourmouzi & Minoas Koukouritakis, 2013. "Factors that Determine the Decline in University Student Enrolments in Economics in Australia: An Empirical Investigation," The Economic Record, The Economic Society of Australia, vol. 89(285), pages 255-270, June.
    7. João Sousa Andrade & António Portugal Duarte, 2012. "The Importance of a Good Indicator for Global Exciess Demand," Book Chapters, in: Paulino Teixeira & António Portugal Duarte & Srdjan Redzepagic & Dejan Eric (ed.), European Integration Process in Western Balkan Countries, edition 1, volume 1, chapter 1, pages 11-35, Institute of Economic Sciences.
    8. Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2009. "Testing for efficiency in selected developing foreign exchange markets: An equilibrium-based approach," Economic Modelling, Elsevier, vol. 26(1), pages 155-166, January.
    9. Eduardo Loría & Emmanuel Salas, 2014. "Ciclos, crecimiento económico y crisis en México, 1980.1-2013.4," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 29(2), pages 131-161.
    10. Galimberti, Jaqueson K. & Moura, Marcelo L., 2016. "Improving the reliability of real-time output gap estimates using survey forecasts," International Journal of Forecasting, Elsevier, vol. 32(2), pages 358-373.
    11. Valle e Azevedo, João, 2007. "Interpretation of the Effects of Filtering Integrated Time Series," MPRA Paper 6574, University Library of Munich, Germany.
    12. Hall, Viv B & Thomson, Peter, 2022. "A boosted HP filter for business cycle analysis: evidence from New Zealand’s small open economy," Working Paper Series 9473, Victoria University of Wellington, School of Economics and Finance.
    13. Nikolaos Giannellis & Minoas Koukouritakis, 2011. "Behavioural equilibrium exchange rate and total misalignment: evidence from the euro exchange rate," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 38(4), pages 555-578, November.
    14. Jean-Stéphane MESONNIER, 2007. "The predictive content of the real interest rate gap for macroeconomic variables in the euro area," Money Macro and Finance (MMF) Research Group Conference 2006 102, Money Macro and Finance Research Group.
    15. Nikolaos Giannellis & Athanasios Papadopoulos, 2007. "Estimating the Equilibrium Effective Exchange Rate for Potential EMU Members," Open Economies Review, Springer, vol. 18(3), pages 307-326, July.
    16. Lyubomir Ivanov, 2005. "Is "The ideal filter" really Ideal: The usage of Frequency Filtering and Spurious Cycles," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 3(1), pages 79-96.
    17. Wolfgang Polasek, 2011. "The Hodrick-Prescott (HP) Filter as a Bayesian Regression Model," Working Paper series 46_11, Rimini Centre for Economic Analysis, revised Jan 2012.
    18. Mésonnier, J-S., 2006. "The Reliability of Macroeconomic Forecasts based on Real Interest Rate Gap Estimates in Real Time: an Assessment for the Euro Area," Working papers 157, Banque de France.
    19. Perron, Pierre & Wada, Tatsuma, 2016. "Measuring business cycles with structural breaks and outliers: Applications to international data," Research in Economics, Elsevier, vol. 70(2), pages 281-303.
    20. Konon, Alexander & Fritsch, Michael & Kritikos, Alexander S., 2018. "Business cycles and start-ups across industries: An empirical analysis of German regions," Journal of Business Venturing, Elsevier, vol. 33(6), pages 742-761.

    More about this item

    Keywords

    South –South integration; Optimum currency area; business cycles;
    All these keywords.

    JEL classification:

    • F0 - International Economics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:46115. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.