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Cross country co-movements of GDP growth rates: are they systematic?

Conference Paper


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Abstract


  • Using factor analysis this paper examines discernable patterns of real GDP growth comovements

    across 97 countries, using consistent time series data for the period 1961-2008.

    Of these countries only 21 are found to form three statistically significant groupings, where

    membership count exceeds more than two. Ten major OECD European countries plus Japan

    and Hong Kong form the first well-defined common bloc of countries (G12). The second bloc,

    consisting of six major Asian countries (G6), have GDP growth rates that exhibit a very high

    degree of correlation, based on their robust factor loadings. The last group of counties

    collectively witnessed a very substantial degree of cross-country growth co-movements

    constituted four (G4) Anglo-Saxon countries. We conclude that, inter alia, geographical

    proximity, cultural ties and the level of socio-economic and financial ties among countries

    determine the global systematic co-movements of growth rates. This paper also identifies the

    extent to which the GDP growth rates in the remaining 76 countries are intertwined with that

    of the above three groups of countries. We conclude that the recent US recession is expected

    to initially engulf other Anglo-Saxon countries as well as G12 and G6 countries, before

    exerting its adverse knock-on effects to the rest of the world.

Publication Date


  • 2010

Citation


  • Valadkhani, A. & Harvie, C. (2010). Cross country co-movements of GDP growth rates: are they systematic?. Australian Conference of Economists (pp. 1-32). Sydney: Economic Society of Australia.

Ro Full-text Url


  • http://ro.uow.edu.au/cgi/viewcontent.cgi?article=2575&context=commpapers

Ro Metadata Url


  • http://ro.uow.edu.au/commpapers/1526

Start Page


  • 1

End Page


  • 32

Place Of Publication


  • http://www.ace10.org.au/

Abstract


  • Using factor analysis this paper examines discernable patterns of real GDP growth comovements

    across 97 countries, using consistent time series data for the period 1961-2008.

    Of these countries only 21 are found to form three statistically significant groupings, where

    membership count exceeds more than two. Ten major OECD European countries plus Japan

    and Hong Kong form the first well-defined common bloc of countries (G12). The second bloc,

    consisting of six major Asian countries (G6), have GDP growth rates that exhibit a very high

    degree of correlation, based on their robust factor loadings. The last group of counties

    collectively witnessed a very substantial degree of cross-country growth co-movements

    constituted four (G4) Anglo-Saxon countries. We conclude that, inter alia, geographical

    proximity, cultural ties and the level of socio-economic and financial ties among countries

    determine the global systematic co-movements of growth rates. This paper also identifies the

    extent to which the GDP growth rates in the remaining 76 countries are intertwined with that

    of the above three groups of countries. We conclude that the recent US recession is expected

    to initially engulf other Anglo-Saxon countries as well as G12 and G6 countries, before

    exerting its adverse knock-on effects to the rest of the world.

Publication Date


  • 2010

Citation


  • Valadkhani, A. & Harvie, C. (2010). Cross country co-movements of GDP growth rates: are they systematic?. Australian Conference of Economists (pp. 1-32). Sydney: Economic Society of Australia.

Ro Full-text Url


  • http://ro.uow.edu.au/cgi/viewcontent.cgi?article=2575&context=commpapers

Ro Metadata Url


  • http://ro.uow.edu.au/commpapers/1526

Start Page


  • 1

End Page


  • 32

Place Of Publication


  • http://www.ace10.org.au/