The great synchronization of international trade collapse

Antonakakis, Nikolaos (2012): The great synchronization of international trade collapse.

Abstract

In this paper we examine the extent of international trade synchronization during periods of international trade collapses and US recessions. Based on monthly data for the G7 economies over the period 1961-2011, our results suggest rather idiosyncratic patterns of international trade synchronization during international trade collapses and US recessions. During the great recession of 2007-2009, however, international trade experienced the most sudden, severe and globally synchronized collapse.

• Item Type: MPRA Paper
• Language: English
• Keywords: International trade collapse; Synchronization; Recession; Dynamic conditional correlation
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; F - International Economics > F1 - Trade > F15 - Economic Integration; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F43 - Economic Growth of Open Economies

References

Ahn, J., Amiti, M., Weinstein, D. E., 2011. Trade Finance and the Great Trade Collapse. American Economic Review 101 (3), 298-302.

Altomonte, C., Mauro, F. D., Ottaviano, G., Rungi, A., Vicard, V., Jan. 2012. Global Value Chains During the Great Trade Collapse: A Bullwhip Effect? Working Paper Series 1412, European Central Bank.

Araujo, S., Oliveira Martins, J., Mar. 2011. The Great Synchronisation: Tracking the Trade Collapse with High- frequency Data. Open Access publications from Universite' Paris-Dauphine 8088, Universite' Paris-Dauphine.

Bems, R., Johnson, R. C., Yi, K.-M., 2011. Vertical Linkages and the Collapse of Global Trade. American Economic Review 101 (3), 308-12.

Cheung, C., Guichard, S., 2009. Understanding the World Trade Collapse. OECD Economics Department Working Papers 729, OECD Publishing.

Engle, R., 2002. Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Con- ditional Heteroskedasticity Models. Journal of Business & Economic Statistics 20 (3), 339-50.

Hosking, J., 1980. The Multivariate Portmanteau Statistic. Journal of American Statistical Association 75 (75), 602-608.

Imbs, J., 2004. Trade, Finance, Specialization, and Synchronization. The Review of Economics and Statistics 86 (3), 723-734.

Imbs, J., 2010. The First Global Recession in Decades. IMF Economic Review 58 (2), 327-354.

Levchenko, A. A., Lewis, L. T., Tesar, L. L., 2010. The Collapse of International Trade during the 2008-09 Crisis: In Search of the Smoking Gun. IMF Economic Review 58 (2), 214-253.

Li, W., McLeod, A., 1981. Distribution of the Residual Autocorrelation in Multivariate ARMA Time Series Models. Journal of the Royal Statistical Society 43, 231-239.

Spehar, A., 2010. The Collapse of Global Trade. World Economics 11 (3), 133-157.