A univariate and multivariate analyses at the country level will be conducted using alternative identification strategies in time-frequency domain. The directions of causal relationships will be identified by phase shift.

We will focus ontransmission mechanismsand the international business cycles (BC). Wewill make use and expanda global vector autoregressive (GVAR) model, developed by Pesaran et al. (2004), in order toassess the transmission of demand,supply and other macroeconomic shocks across European countries.  The comparison of shock spilloversacross countries within the euro area and in other world regions will also provide evidence on the effects of integration on BC(a)symmetries.

We will analyse the effect of several integration events on BCS at the regional (NUTS2 and NUTS3) level which will allow to identify the causal effects of joining EMU on BC synchronisation using various identification strategies. It will also allow for an assessment of potentially heterogeneous and non-linear treatment effects.

A block

Kapounek, S., Kučerová, H. (2019). "Historical Decoupling in the EU: Evidence from Time-Frequency Analysis", International Review of Economics and Finance, vol. 60(C), 265-280. https://doi.org/10.1016/j.iref.2018.10.018

Grigaliuniene, Z., Celov, D., Hartwell, Ch. A. (2020). "The More the Merrier? The Reaction of Euro Area Stock Markets to New Members". Journal of International Financial Markets, Institutions and Money. https://doi.org/10.1016/j.intfin.2020.101195

Fidrmuc, J., Campos, N.F., Korhonen, I. (2019). Business cycle synchronisation and currency unions: A review of the econometric evidence using meta-analysis, International Review of Financial Analysis, Volume 61, Pages 274-283, ISSN 1057-5219. https://doi.org/10.1016/j.irfa.2018.11.012.

Fidrmuc, J., Fiedler, P., Reck, F. (2021). Automation, Digitilization, and Income Ineaquality in Europe. Czech Journal of Economics and Finance, Vol 71, Issue 3, Pages 203-2019. https://doi.org/10.32065/CJEF.2021.03.01

Celov, D., Comunale, M. Business cycles in the EU: A comprehensive comparison across methods, Advances in Econometrics, Volume 44B, 2022 pages 99-146. (Forthcoming)

S. Jokubaitis, D. Celov: Business Cycle Synchronization in the EU: A Regional-Sectoral Look through Soft-Clustering and Wavelet Decomposition, arXiv preprint arXiv:2206.14128, 2022 (submitted to Empirical Economics)

B block

Crespo Cuaresma, J., Doppelhofer, G., Feldkircher, M., Huber, F. (2019). "Spillovers from US monetary policy: evidence from a time varying parameter global vector auto‐regressive model". Journal of the Royal Statistical Society: Series A., vol. 182, part 3, 831–861. Paper was nominated and won Vladas Jurgutis Award (2020) for significant research works by the Bank of Lithuania.

Crespo Cuaresma, J., Huber, F., Onorante, L. (2020). "Fragility and the effect of international uncertainty shocks". Journal of International Money and Finance. https://doi.org/10.1016/j.jimonfin.2020.102151, https://www.sciencedirect.com/science/article/pii/S0261560620300838

Jesús Crespo Cuaresma. (2022). Uncertainty and business cycle synchronization in Europe, Applied Economics Letters, 29:11, 1047-1053, DOI:10.1080/13504851.2021.1939854

Fidrmuc, J.,  Danišková, K. (2019). "Meta-Analysis of the New Keynesian Phillips Curve in Developed and Emerging Economies". Emerging Markets Finance and Trade. doi.org/10.1080/1540496X.2019.1590700  https://doi.org/10.1080/1540496X.2019.1590700

Fidrmuc, J., Lind, R. (2020). Macroeconomic impact of Basel III: Evidence from a meta-analysis, Journal of Banking & Finance, Volume 112, 105359, ISSN 0378- 266, https://doi.org/10.1016/j.jbankfin.2018.05.017.

Fidrmuc, J., & Degler, M. (2021). Temporal and Spatial Dependence of Interregional Risk Sharing: Evidence from Russia. Macroeconomic Dynamics, 25(1), 178-200. doi:10.1017/S1365100518000706 

Dibooglu, S., Kapounek, S. (2021). The US current account, sustainability, and the international monetary system, Economic Systems, Volume 45, Issue 4,2021,100875,ISSN 0939-3625, https://doi.org/10.1016/j.ecosys.2021.100875.

Lastauskas, P. Nguyen, A. (2022). Global Impacts of US Monetary Policy Uncertainty Shocks (submitted to Journal of International Economics)

Lastauskas, P., Dainauskas, J., Comunale, M. (2022). What Explains Trade Persistence? A Theory of Habits in the Supply Chains (submitted to Economic Journal).

C block

Huber, P. (2018). "The role of migration as adjustment mechanism in the crisis and EMU".  Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, vol. 66(6), 1497-1508. https://doi.org/10.11118/actaun201866061497

Fidrmuc, J., Moroz, S. & Reck, F. Regional risk-sharing in Ukraine. Empirica 48, 645–660 (2021). https://doi.org/10.1007/s10663-020-09500-7

Rubčinskaitė, R., Urbšienė, L. (2022). What Matters for the Economic Synchronization of the Baltic States (submitted to Empirica).

Kasnauskiene, G., Palubinskaite, J. (2020). Impact of High-Skilled Migration to the UK on the Source Countries (EU8) Economies, Organizations and Markets in Emerging Economies, 11(1), pp. 55-68. doi: 10.15388/omee.2020.11.23.

Time Coverage: 1989-2017
Country Coverage: 26 Countries
Frequency: Monthly

Time Coverage: 2000Q1-2020Q3
Country Coverage: 25 Countries
Frequency: Quarterly

Time Coverage: 1960-2016
Country Coverage: 29 Countries
Frequency: Yearly

Source: IMF IFS, IMF DOTS
Time coverage: 1995 Q1 - 2019 Q4
Country coverage: 21
Frequency: quarterly