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Cigdem Akin
February 10, 2006
George Washington University
Department of Economics
1922 F Street, NW
Old Main, Suite 208
Washington, DC 20052 USA
Phone: ++1 (202) 994 6150
Fax: ++1 (202) 994 6147
E-mail: cigdem@gwu.edu
Key words:
I. Introduction
Over the last decades the wave of globalization has led to a tremendous increase in the
strength of economic linkages across the world. Successive trade liberalization contributed to an
increase in trade flows as well as structural changes in the economies of both developed and
emerging markets. Moreover, financial liberalization increased market access for short-term
equity and foreign direct investment, thereby leading to a massive surge in international capital
flows. The phenomenon of globalization and the synchronized slowdown of major world
economies alongside contagious nature of financial crisis in emerging markets have recently
incited the interest in understanding propagation of business cycle fluctuations across national
borders. There are two venues economies can move together. Synchronization can happen
because countries can face common shocks such as sharp movements in world interest rates,
abrupt changes in oil prices or similar fiscal and monetary policies; or national economies can
move together because of the international transmission of idiosyncratic shocks through
economic linkages such as trade or finance.
Identifying the degree of synchronization across economies and analyzing the global,
regional as well as country-specific determinants of international fluctuations are relevant from a
number of perspectives including short-run domestic and international policy coordination as well
as assessment of the long-run feasibility of monetary unions.
In this respect, this paper attempts to contribute to the synchronization literature by
looking at the multiple channels of business cycle synchronization in the world and primarily
gives attention to emerging market economies that existing literature has so far failed to study in a
unified framework. Paper introduces new variables such as trade intensity, intra-industry trade,
trade partner similarity, free trade area membership, economic similarity, global financial
integration and macroeconomic policy similarity measures as well as global oil shocks to explain
major economic linkages behind bilateral cycle synchronization for 47 countries including 27
emerging market economies. First part of the paper looks at the theoretical literature and
empirical work on business cycle synchronization. Second part of the paper introduces the data
and empirical methodology to calculate various linkages that have been found to be theoretically
relevant for business cycle co-movements. Stylized facts and evolution of major economic
linkages and bilateral real GDP, investment and consumption correlations for oil shock, debt
crisis and globalization periods are studied from the perspective of regional and income-based
classification of countries.
In the third part of the paper, in order to identify the most important determinants of
output correlations, GMM-IV and simultaneous equations regression models are conducted for
1970-2003 period. Results from the analysis show that bilateral trade intensity, intra-industry
trade and similarity in economic structures are the most important determinants of output
correlations. There are no statistically significant effects from trade partner similarity, free trade
area membership and being commodity exporter when similarity in macroeconomic policy
measures is accounted for. Specifically, there is evidence that similarity in idiosyncratic fiscal
shocks increases bilateral output synchronization while bilateral real exchange rate
volatility has no statistical effect. On average global financial integration has a positive but weak
effect and synchronization increases for country pairs with higher degrees of financial openness.
Simultaneous equation models show that there is a strong positive feedback from financial
openness to trade integration. Oil price shocks increase synchronization for pairs with similar oil
import dependencies. In conclusion, trade integration especially in the form of intra-industry trade
is the main driving force behind successful optimum currency areas.
II. Background on Theoretical and Empirical Literature
There has been a burgeoning research that has examined how integration affected the
synchronization of business cycles across different countries. Most of these recent studies
predominantly focus on identifying the changing nature of co-movements. Although important
common conclusions have been reached, depending on the country coverage, time period as well
as econometric techniques used in the analysis, there are still diverse findings about evolution of
business cycle synchronization. There are various transmission channels economic theory focuses
on in order to study how fluctuations in the level of economic activity in one country can spillover into other economies. As will be discussed, these channels however can influence output
correlations in either way therefore economic theory fails to provide us with any explicit
directions as to how enhanced cross country linkages will move business cycle synchronization
when we take into account the complexity and varying degree of intensity of these channels
across the world. Given this perspective the following section discusses the channels of business
cycle synchronization.
possibilities and reduced relative output volatility. However such levels of gross capital flows are
typically experienced over sustained periods of time only by some industrial countries.
These findings are potentially consistent with the view that international financial
integration can promote domestic financial sector development which in turn can help to
moderate domestic macroeconomic volatility. Unfortunately most developing economies are well
below this threshold that moderate levels of financial integration have made them subject to even
greater volatility because insufficient financial integration perpetuates the underdeveloped nature
of domestic financial markets that inadvertently attracts more volatile and pro-cyclical short term
capital flows. Thus for many developing countries counter to the notion of risk-sharing, financial
integration happen to increase idiosyncratic macroeconomic fluctuations.
There is also another stream of literature that contrary to the predictions of Backus,
Kehoe and Kyland finds out higher GDP and investment correlations as a result of financial
linkages thus explaining the quantity anomaly. As discussed by Aizenman and Noy (2004) global
financial integration is strongly linked with trade openness and reinforces the positive effect on
business cycle synchronization in output and investment. Furthermore composition of capital
flows can have a significant influence on degree of business cycle synchronization. FDI linkages
act a lot like intra-industry trade and countries that are closely integrated through FDI may
transmit shocks to each other. FDI may also serve as a means by which technology is transferred.
A large body of literature on contagion argues that capital flows to different countries in
particular developing countries in the same region are synchronized through various channels of
financial contagion. Over the last decades it has been observed that short term capital flows are
positively correlated across developing countries either due to simultaneous liberalization of
capital markets or due to the herd behavior of international investors. Furthermore, many
developing countries rely heavily on external financing for their domestic investment and current
account deficits. The magnitude and volatility of capital flows from industrial countries can
therefore have a significant influence on investment and output performance of developing
countries and regional spillovers. Related with this, cross-country investment opportunities
through international equity holdings have made local financial asset prices more responsive to
world or regional financial conditions. As investors herd or capital flows follow similar patterns
across countries, financial integration has induced increasing co-movements of stock markets.
Linkages through equity investments may also explain contagion and synchronization of business
cycles between regions that are weakly linked in macroeconomic fundamentals. In conclusion,
financial linkages have intricate and ambiguous effects on business cycle synchronization.
components of demand shocks with countercyclical fiscal policy, emerging markets often fail to
do so due to weak tax base, high dependence on commodity markets and borrowing constraints
during growth slowdowns. Kaminsky, Reinhart and Vegh (2004) find out for developing
countries that the capital flow cycle and macroeconomic cycle reinforce idiosyncratic shocks in
output and consumption and discretionary fiscal policy is highly pro-cyclical for most developing
countries and markedly so in middle income countries. In OECD countries by and large fiscal
policy is either countercyclical or acyclical. In conclusion similarity in fiscal policy behavior
could be an important factor affecting business cycles co-movements.
The association between monetary policy similarity or exchange rate stability and
behavior of macroeconomic aggregates is both theoretically and empirically unclear. Optimal
currency area literature points out three potential benefits from having stable exchange rates.
First, low exchange rate volatility can reduce transaction costs and stimulate trade integration.
Second reduced currency risk due to strict exchange rate regimes can enhance financial
integration. Third with tightly integrated capital markets, maintaining fixed exchange rate can
lead to a high degree of coordination of monetary policy that can increase co-movements.
However recent IMF study finds no negative association between exchange rate
volatility, trade and investment flows. On the real side of the economy, Baxter and Stockman
(1989) also provide evidence that there are no systematic differences in the behavior of output,
consumption and government consumption spending under alternative exchange rate systems.
Consistent with the above results, Kouparitsas (2003) looks at postwar international comovements of business cycles of G7 and ERM countries. He finds that there are examples of high
and low co-movement in both fixed and flexible exchange rate regimes and degree of comovement is only affected by the changing nature of underlying shocks and the propagation
mechanisms irrespective of the exchange rate regime.
II.6 Common shocks
Analysis of synchronization should control for common shocks in order to fully
understand the impact of other transmission channels. Rise in oil prices are usually associated
with recessions and it is known that cycles are globally more synchronized during such periods.
In summary, existence of various channels affecting business cycle synchronization and
intricate interdependency between them have been the major reason for the failure of economic
theory to pin down any explicit direction for how enhanced cross country linkages will move
business cycle synchronization.
monetary policy coordination and showed that for Asian countries, intra-industry trade is the
major determinant of business cycle co-movements and synchronization is strengthened only
when increased trade is accompanied by more intra-industry trade.
As mentioned before although there is wealth of evidence on importance of trade and
similarity of economic structure and the robustness of these linkages has been reconfirmed by the
recent study by Baxter and Kouparitsas (2004) using data for co-movements of 100 developing
and developed countries, the link between cycle synchronization and financial integration is the
least researched area in the literature and there are only three papers that focus on the role of
financial integration alongside other channels. Imbs (2003) looks at the linkages between trade in
goods, financial openness, specialization and business cycles synchronization in the context of a
system of simultaneous equations for mainly developed countries. He finds that financial linkages
significantly increase synchronization even though countries also get more specialized and less
correlated as a result. In a subsequent paper, Imbs (2004) extends the same simultaneous equation
approach to cross-section of bilateral correlations for a core of 12 developed and periphery of 31
developing countries. Paper estimates the link between financial integration and GDP correlations
as well as financial integration and risk sharing as measured by consumption correlations. The
findings confirm the previous results that financially integrated economies have more
synchronized business cycles.1 Finally, Otto, Voss and Willard (2003) look at a number of
directions for business cycle synchronization using an extensive database for 22 OECD
economies for the period 19802000.2 Their results show that intensity of trade in goods,
financial integration, exchange rate stability, similarity of economic structures and a common
propensity to adopt new technologies all act to increase the synchronization.
1
Paper uses a Coordinated Portfolio Investment Survey (CPIS) with direct observations on bilateral asset holdings for
67 source and 223 destination countries in 2001 whereby holdings can be decomposed into equities, short-term and
long-term debt securities. Paper also uses capital and current account restriction indices to measure degree of financial
integration. Although this is an important contribution to the literature by studying the direct and indirect effects of
trade, economic structure, disaggregated capital flows as well as financial liberalization proxied by restriction indices,
the paper suffers from major limitations. Results of the regression system are unstable dependent on specifications of
the variables. The fact that components of CPIS are highly correlated among themselves and some economies were
absent from the data set due to underreporting in the survey has created multicollienarity problems in the estimation.
Another limitation is that the survey data is available for only 2001 and 2002.
2
They look at three broad types of transmission channels: trade in goods and services, trade in financial assets and the
coordination or similarity of monetary policies. They examine financial market linkages by looking at foreign direct
investment, trade in equities and trade in long term bonds. They use information on stocks and flows of FDI on bilateral
basis to measure the FDI linkages. For debt instruments, they use bilateral spreads in asset returns. For measuring
equity market integration, they compare mean absolute spread in the real returns of two countries stock indices. For
similarity of monetary policy, they consider the variation in the nominal bilateral exchange rate as a measure of the
fixity of exchange rates. Furthermore they control for similarity of economic structure between two countries. They
also introduce a new variable called index of openness to new technology in order to capture the relative degree of
penetration of information and communication technologies as a proxy for global spillovers of recent innovations.
10
3
Bergman (2004) shows that European business cycles have indeed been more synchronized during flexible exchange
rate period and monetary policy differentials contribute to synchronization. Clark and van Wincoop (2001) find no
evidence for monetary policy coordination and exchange rate stability. Kose, Prasad and Terrones (2003) also find no
association between monetary policy similarity and correlations with G-7 aggregates in consumption and output.
11
IV.1 Data
Countries included in the study:
There are 47 countries in this study, 27 of which are emerging market economies. Table 1
gives the list of countries classified according to regional groups.
Measurement of Variables:
1- Business Cycle Synchronization:
Business cycle is measured using real GDP for capturing aggregate economic activity
(Y), real gross fixed capital formation for investment (I) and real household consumption for
private consumption (C). All data are annual and measured using local currency prices. Business
cycle synchronization is measured bilaterally by computing simple contemporaneous correlation
between cyclical components of these variables for country i and j over time span following
Frankel and Rose (1998). For regression analysis bilateral correlations of cyclical component of
Y
real GDP ( ij) is preferably used because it captures the synchronization in aggregate economic
activity rather than the components.
var( yi ). var( yj )
There are 1081 bilateral correlations for all the countries. In order to isolate the cyclical
component, logarithm of real GDP, real investment and real consumption data are de-trended by
band-pass filter proposed by Baxter and King (1999).4
Cross sectional data is constructed for 1970-2003 period for the econometric analysis.
However in order to capture the stylized facts about the time variation in the strength of
synchronization as well as differences in economic linkages of regional and income groupings,
data is split into three separate time periods.
Period 1 from 1970-79 capturing the era of oil shocks
Period 2 from 1980-89 capturing the era of debt crisis in developing countries
Period 3 from 1990-2003 capturing the era of globalization.
There are several techniques used in business cycle literature to decompose economic variables into trend and cycle.
Although there is a lack of consensus, band-pass filter is a widely used and preferred method in synchronization
literature. Results obtained in this paper are replicated with first differencing and HP filter as well and robust to any of
these de-trending techniques. For the sake of brevity, they are not reported but are available upon request.
12
Trade1 ij =
1
Xijt + Mijt
T t Yit + Yjt
X ijt denotes total merchandise exports from country i to j in year t, M ijt represents imports to i
from j, and Yi and Yj denotes nominal GDP in country i and j measured in US dollars at time t.
The trade volume measures are annual and in nominal terms converted to US dollars.
Trade2 is a measure of average bilateral trade relative to total trade of the two countries.
Trade2 ij =
1
Xijt + Mijt
T t Xi + Mi + Xj + Mj
The bilateral trade data is from the International Monetary Fund's Direction of Trade Statistics.
Annual nominal GDP at US dollars is obtained from World Development Indicators.
2- Intra-industry Trade:
In order to control for the effects of intra-industry trade alongside the volume of trade, a
measure of intra-industry trade intensity by Grubel and Lloyd (1975) is used:
Intratrade ij
1
=
T
Xijtk Mijtk
(1 ( Xijtk + Mijtk ) )
where X ijtk is total nominal exports of product k from country i to country j at time t and M ijtk is
total nominal imports of product k from country j to country i at time t. The measure is then
averaged for the time period under study.
Bilateral intra-industry trade data for 81 industries using four-digit (ISIC) classification is
obtained from Trade and Production Database 1976-99 by Nicita and Olarreaga (2001). Dataset is
originally constructed from UN Comtrade Database. All data used to construct structure of trade
series are annual.
13
Tradepartner ij
T t s i , j
Yit
Yjt
where X ist is total nominal exports from country i to country s at time t and M ist is total nominal
imports from country s to country i divided by nominal GDP of country i in US dollars. X
jst
is
total nominal exports from country j to country s and M jst is total nominal imports from country s
to country j divided by nominal GDP of country j. The absolute difference of trade intensities of
country i and j with country s is aggregated for the rest of N countries in the sample and then
averaged for the time period under study. Lower index refers to higher trade partner similarity.
4- FTA Membership:
In order to test whether free trade area membership enhances the international
transmission of business cycle shocks, FTA measure is constructed from the fraction of years that
a free trade agreement is in place for any country pair for the given time period. The data on free
trade agreements and customs unions is obtained from World Trade Organization.
Variables Related to Financial Integration:
5- ITO Capital Account Openness Measure:
IMFs Annual Report on Exchange Arrangements and Exchange Restrictions (AREAER)
indices provide a binary indicator of restrictions on financial flows based on official statements of
national authorities. The well-known shortcoming is that they do not reflect the evolution of
financial openness over time. Chinn and Ito (2002) develop continuous measures of de-jure
financial openness using AREAER indices. This paper calculates the degree of financial
integration between country pairs i and j by taking the period average of the sum of two
countries Chinn and Ito measures. This index takes on higher values when pairs of countries are
officially more open to cross-border global capital transactions.
ITO ij =
1
(ITOit + ITOjt )
T t
14
1
GPF
GPF
((
)it + (
) jt )
T t GDP
GDP
Imbs argue that two countries with massively positive (negative) net foreign assets holdings will tend to be both
issuers (recipients) of capital flows and should experience less bilateral flow than two economies where one is
structurally in surplus and the other in deficit. Bilateral financial integration measure will be higher for pairs of
countries with diverging external positions that are more likely to lend and borrow from each other than pairs of
countries with similar external positions. Lane - Milesi-Ferretti methodology is used to construct:
Finance
ij=
1
T
NFA
NFA
where NFA denotes the net foreign asset position in country i and j namely accumulated sum of net positions in foreign
direct investment, equities and debt.
15
The ratio of gross private capital flows (GPF) to GDP in U.S. dollars is obtained from
World Development Indicators from 1970-2003 and the GPF measure is the sum of the absolute
values of direct, portfolio and other investment inflows and outflows recorded in the financial
accounts of balance of payments statistics, excluding changes in the assets and liabilities of
monetary authorities and general government. Given the fact that this study covers a wide range
of issuer as well as recipient countries with different FDI, portfolio as well as debt flow
intensities, gross measure is a better proxy for studying the effects of global financial integration
on synchronization patterns. This measure is also useful in capturing the overall risk sharing
effect of global financial openness. Furthermore Claessens et. al (1995) show that differentiating
FDI, portfolio and debt flows into short term and long term categories might be misleading for
understanding the volatility and persistence of different types of flows. This measure overcomes
this problem by looking at the gross measure instead of FDI or debt flows separately.
Variables Related to Economic Structure:
7- Similarity of Economic Structure:
Index of concentration by Krugman (1991) is used extensively in the synchronization
literature to measure similarity in sectoral production patterns:
Structure ij =
T t
s =1
GDPi, s GDPj , s
GDPi
GDPj
GDPi,s denotes the value added in US dollars of sector s in country i and GDPi is the nominal
GDP in US dollars at year t. Structure i,j, is broad measure of the average of discrepancies in the
GDP shares of agriculture, industry and services sectors of the countries i and j over period . 6
8- Primary Commodity Exporter:
Excessive dependence on production of non-fuel primary commodities creates
vulnerability to terms of trade fluctuations. Commodity dummy is constructed for pairs of
countries whose average ratios of primary commodity export share (of merchandise exports) to
manufacturing export share both exceed 1 for the period . Export share data is obtained from
World Development Indicators.
Commoditydummy ij = 1 if
1
% Xagriculture + food + ores & metals
((
)i, j )t > 1
T t
% Xmanufacturing
Industry refers to ISIC divisions 10-45 and includes manufacturing (ISIC divisions 15-37). Agriculture corresponds to
ISIC divisions 1-5. Services correspond to ISIC divisions 50-99. Sectoral data is from World Development Indicators.
16
with this variable is that primary balance as proportion of GDP is strongly determined by the
cyclical stance of the economy. For example, tax revenues increase in good times therefore the
government budget surplus is endogenous to the cycle.
Given these limitations, this paper will look at the period average of the absolute
differences in the government spending to GDP ratios of country i and j.
Govtspending ij= 1
T
(
t
Govtspendi ng
Govtspendi ng
)it (
) jt
GDP
GDP
Data for general government final consumption expenditure includes government current
expenditures for purchases of goods and services including compensation of employees as well as
most of the expenditures on national defense and security.
Government spending differential has already been used in the previous literature as an
instrument for the budget deficit correlation however it will be better to introduce it directly as a
measure of fiscal policy similarity. As mentioned in the theoretical review, increasing
government spending can be an automatic stabilizer but at the same time aggressively used
discretionary
fiscal
policy
can
increase
idiosyncratic
output
volatility.
Furthermore
macroeconomic cycle is often reinforced by highly pro-cyclical government spending in the case
of developing countries. In this paper, averaging the government spending differences over a long
period of time will eliminate any concerns arising from cyclicality but will give us an indicator of
degree of convergence in government spending behavior.
Van Wincoop and Clark (2001), Thellesen (2003), Shin and Wang (2004), Bergman (2004) and Darvas, Rose,
Szapary (2005)
17
CPIjt
CPIit
Bilateral rates are calculated from IMF International Financial Statistics using nominal exchange
rates of both countries vis a vis U.S. dollar and consumer price index of country i and j.
Global Shocks
12- Oil Dependency and Oil Shock Index
In order to identify the pairs of countries that are net fuel exporters for the period , netfuel-exporter dummy is constructed.
Net-fuel-exporter dummy ij = 1 if 1
T
t
Mfuel Xfuel
)i, j , t ) < 0
Y
Proxy for the effects of oil price on pairs of countries with similar net fuel import
dependencies is captured by the following index used by Frankel and Rose (1998):
Oil ij =
Mfuel Xfuel
Mfuel Xfuel
1
( POILt * (
)i, t * (
) j, t )
T t
Y
Y
Oil index is constructed by taking the period average of the product of real price of oil
(nominal average crude oil price deflated by world CPI at 2000) and net fuel imports to GDP
ratios of country i and j. Oil price and world CPI are obtained from IFS. M fuel, X fuel and
nominal GDP values are all in current US dollars and are obtained from WDI.
IV.2 Descriptive Statistics and Stylized Facts about Synchronization
Having identified the countries included in the study as well as defined the methodology
to measure business cycle synchronization and linkages affecting co-movements, this section of
the paper presents the descriptive statistics and the stylized facts about the evolution of
synchronization. In order to understand the changes as well as regional patterns in
synchronization trends, 1081 bilateral correlations of 47 countries are constructed for real GDP,
investment and consumption cycles over the oil shock (1970-79), debt crisis (1980-89) and
globalization (1990-2003) periods.
18
In Figures 1-3, countries are grouped in geographical regions and according to free trade
areas and positive and negative correlations that are significant at 10 percent and 5 percent levels
are coded in color to indicate highly synchronized and countercyclical country pairs over that
time period. Figures 5-8 take a closer look at the interregional synchronization patterns in Europe,
G-7, Americas and Asia.
Several interesting observations can be made from these correlation matrices in terms of
clusters of highly synchronized country groups. It can be seen that for oil shock period, real GDP
cycles of G-7 countries including Japan are highly synchronized among each other. This is also
observed to a lesser extent for investment and consumption cycles. Real GDP of small open
economies in Europe such as Switzerland, Austria, Belgium, Denmark, Netherlands and Portugal;
in Latin America such as Chile and in Asia such as Korea, Hong Kong and ASEAN countries are
also highly correlated with some countries in G-7. Other regions in the world do not exhibit a
similar clustering for 1970-79 period. In fact for Latin America, members of Mercosur or Andean
free trade areas are not significantly correlated with each other. In Asia, Hong Kong GDP cycle is
correlated with Japan, Philippines, Malaysia and Thailand while bilateral Korean and Thai output,
investment and consumption correlations are also significant.
Looking at 1980-89 debt crisis period, it can notably be seen that real GDP and
consumption bilateral correlations become highly significant for some Latin American countries
like Chile, Mexico, Paraguay, Uruguay, Bolivia and Peru. Canadian investment cycle is highly
synchronized with Mexico, Chile, Paraguay and Bolivia. In Asia, during this period, output and
investment cycles become significantly correlated among ASEAN countries such as Indonesia,
Malaysia, Philippines and Singapore. In Europe, GDP cycles of small open economies like
Belgium, Finland, Sweden, Greece, Portugal and Spain are highly correlated among themselves
and European members of G-7 group. The same strong inter-group synchronization can no longer
be observed among G-7 countries during 1980-89. Japanese output and investment cycles remain
correlated with France, Italy and Canada however German, UK and US cycles are no longer
significantly associated with the rest of G-7 group.
During the globalization period, it can be clearly seen that formation of European Union
has created a strong regional cycle in output, investment and consumption. Although Netherlands
co-moves with the rest of the European Union in investment and consumption, its real GDP cycle
is predominantly countercyclical to the rest of Europe. It can be also seen that Mediterranean
countries form a synchronized group. One interesting observation is that during 1990-2003 UK
consumption is not significantly correlated with the rest of Europe. Scandinavian countries on the
other hand show high degree of output correlation with UK.
19
Arroyo (2002) also makes the same observation that degree of integration and business cycle synchronization in Latin
America is very weak in comparison to other sub-regional arrangements in the world like NAFTA, ASEAN and
European Union.
This result is consistent with the findings of Kose, Prasad and Terrones (2003) that also show that common global
factor has not significantly changed the extent of business cycle co-movement across sub-periods and on average there
is little evidence that co-movements have become more synchronized during the period of globalization.
20
comparison to 1970s. There is no clear change in bilateral consumption correlations from first
period to globalization however second period bilateral correlations are on average higher.
When developed and emerging market pairs are studied separately, it can be seen that
developed countries have the highest bilateral correlations in output, investment and consumption
in all periods in comparison to other income groups. On average bilateral output correlations
among developed country pairs are highest in oil shock period and unchanged from 1980-89 to
1990-2003. Both investment and consumption correlations are highest in globalization period.
For emerging market country pairs, there is evidence that on the average output, investment and
consumption correlations are increasingly becoming more synchronized during the globalization
period. For developed-emerging market pairs, results indicate that synchronization of output,
investment and consumption of North-South pairs decline during globalization period.10
Looking at the regional trends, results show that for Europe synchronization in output and
investment increase in 1980-89 and 1990-2003 relative to oil shock period. Consumption
correlations are highest during 1980s but roughly unchanged in 1990s. For European Union,
bilateral output, investment and consumption correlations are higher in globalization period
although average output correlations are almost the same during the oil shock period. For G-7
group, bilateral output, investment and consumption correlations are on average the highest in
1970s and decline steadily over time or remain unchanged in 1980s and 1990s.11
For Americas, regional bilateral synchronization is stronger in 1980s than any other
period. For output and consumption, correlations somewhat decline in globalization and are
roughly equal to first period. For investment, correlations are higher in globalization period than
1970s. In Latin America, all output, investment and consumption correlations are the highest in
1980s during the debt crisis but correlations somewhat declined in globalization period although
still higher than 1970s.
Finally for Asia, average bilateral correlations increase with globalization in comparison
to any other periods. There is a secular increasing trend in investment synchronization for entire
Asia as well as Japan, Korea, Hong Kong and ASEAN group from oil shock period to
globalization. Average correlations among this sub-regional group more than double the average
correlations in the entire Asian region.
When we look at the magnitudes of average correlations in Table 2, it is clearly visible
that across time periods, ranking of the regions tend to change. For the oil shock period, G-7
10
Kose et. al also show that for developing countries correlations of individual country output and consumption growth
fluctuations with the fluctuations of G-7 aggregates decline in the 1990s.
11
Heathcote and Perri (2001) find similar results for declining cross country correlations among G-7 countries.
21
countries have the highest average bilateral synchronization in output followed by Japan, Korea,
Hong Kong and ASEAN group and European Union. G-7 and European Union investment and
consumption correlations are the highest in this time period although G-7 average far exceeds the
European Union. There is almost no output synchronization in Latin America during 1970s.
During the debt crisis period, it can be clearly seen that Latin American averages become
the highest among all the regions followed by G-7 and European Union. Japan, Korea, Hong
Kong and ASEAN output correlations significantly dropped in comparison to oil shock period but
investment correlations increased.
Finally during the globalization period, Asian sub-regional group composed of Japan,
Korea, Hong Kong and ASEAN countries, European Union and G-7 have the highest average
correlations in output. For investment and consumption cycle, European Union has the highest
average followed by the Asian sub-regional group. G-7 averages fall behind European overall
average. On the other hand Latin American correlations drop towards the end of the ranking
although higher than the oil shock period.
Table 2 also shows that average bilateral consumption correlations are almost always
lower than output correlations for all income and regional groups supporting the previous
literature that quantity anomaly exists and consumption risk sharing possibilities have not been
fully exploited yet.
In the following section, averages of major variables affecting business cycle
synchronization will be compared for each period on the basis of income groups and geographical
regions in order to identify any congruence with synchronization trends in the world. Tables 3-6
give the descriptive statistics and stylized facts about trade, financial integration, macroeconomic
and structural similarity measures.
IV.3 Descriptive Statistics and Stylized Facts about Linkages Affecting Synchronization
Trade Integration:
Table 3 shows that for all countries and income groups on the average trade intensity,
intra-trade intensity and diversification of trade partners are rising from 1970-79 to globalization
period. There is also an increasing trend towards formation of free trade areas. For emerging
market economies when country pairs with Singapore and Hong Kong are excluded, it can be
clearly seen that trade integration measures are roughly the same for 1970s and 1980s but trade
intensity and intra-industry trade have substantially accelerated with globalization together with
trade partner diversification and FTA formation. Comparatively, highest bilateral trade volume,
intra-industry trade and FTA measures are observed for developed country pairs. Trade partner
22
similarity is also higher among developed countries. There is virtually no FTA formation for
developed-emerging market and emerging market pairs in earlier periods but it increases with the
globalization period. Highest free trade area integration is seen among developed country pairs.
When trade integration is compared at the regional level, for European pairs, trade
volume and intra-industry trade intensity measures are roughly similar in oil shock and debt crisis
periods but increase with globalization. There is an increasing trend in trade partner
diversification and FTA formation. For European Union, all trade integration measures secularly
increase from 1970-79 to 1990-2003. FTA formation completed in 1990s.
For G-7, trade intensity volume increased secularly in all periods. Intra-industry trade
intensity measure is roughly the same in 1970s and 1980s but increased in 1990s. Trade partner
diversification and FTA formation increase over the decades.
For pairs in Americas, trade volume measures and intra-industry trade are roughly similar
in 1970s and 80s but increased in 1990s. Trade partner diversification and FTA formation is
increasing secularly. For Latin American pairs, trade volume is increasing secularly from 1970s
to 1990s. Intra-trade intensity is roughly the same in 1970s and 1980s but increased in 1990s.
Trade partner diversification is increasing. FTA formation increase dramatically in 1990s.
For Asian pairs controlling for Singapore and Hong Kong that are trading hubs, there is a
secular rising trend in all trade integration measures and they increase dramatically in 1990s.
When average magnitudes are compared, the ranking of trade intensity measures is
roughly unchanged across all time periods. G-7 and European Union pairs have the highest trade
intensity measures and Japan, Korea and ASEAN pairs increased their intensity in 1990s. Latin
America has the lowest trade integration. In terms of trade partner similarity, Latin American
pairs have the most similar trading partners in all periods. Trade partner diversification increased
for overall Asia and Japan, Korea, ASEAN pairs over time.
Financial integration:
For all the countries in Table 4, there is a secular trend towards financial globalization in
terms of higher gross private flows to GDP ratios and capital account openness. Both measures
significantly increase in globalization period. For emerging market pairs, gross private flows to
GDP are roughly equal for 1970s and 1980s but increase dramatically in 1990s. Capital account
restrictions in emerging markets get severer in 1980s and significantly liberalized in 1990s.
For developed countries there is a secular rising trend in gross private capital flows and
capital account openness. Comparatively highest financial integration and openness in capital
account regime are observed in all periods among developed country pairs.
23
In Latin America, capital account restrictions are in place during 1980s but capital
account openness significantly increases in 1990s again. In contrast Asia experiences progressive
liberalization of capital account regime.
Comparatively, ranking of financial integration changes over time. Latin American pairs
have declining gross private flows to GDP ratios whereas Asian financial openness increases.
European Union and G-7 countries have the highest measures. In terms of capital account
openness Latin American economies have the lowest de-jure capital account openness measure.
Macroeconomic Similarity:
Table 5 shows that for all countries, average differences in government spending to GDP
ratios are roughly similar for each period. It is observed that government spending behavior of
developed-emerging market pairs are significantly divergent giving support to the view that there
are differences in discretionary fiscal policy between developed countries and emerging markets.
Real exchange rates are the most stable bilaterally among developed country pairs across
time. The volatility within the emerging market pairs is the greatest. There is virtually no bilateral
real exchange rate variation in Asia and Japan, Korea, Hong Kong and ASEAN sub- regional
group. Real exchange rate variation in Latin America and Americas is higher than the average of
real exchange rate variability in all countries especially in 1980s.
Structural Similarity:
Table 6 shows that for all country pairs, similarity in economic structure is roughly
unchanged across periods. Developed countries of G-7 and European Union have the most similar
economic structures whereas developed-emerging market pairs diverge the most.
Over the decades, there is a substantial decline in the number of country pairs that are
non-fuel primary commodity exporters due to export diversification. Emerging market pairs had
43 percent commodity producers in 1970s and this figure drops to 34 percent in 1980s and to 7
percent in 1990s. Similar declining trend is visible in other income categories. Share of
commodity exporters has substantially declined in all regions, dropped to almost 1 percent in
Asia from 22 percent. In Latin America, during 1970s all the countries were commodity
exporters, this number dropped to 46 percent of the group in 1990s. Export diversification
significantly increased in Asia as can be seen in intra-industry trends in Table 4. Latin America is
still a predominantly commodity producing region despite export diversification. Furthermore
highest number of net-fuel exporting pairs can be found in Latin America.
24
All these results shed some light on the previous finding that regional economic
integration in Latin America has failed to generate significant cyclical co-movements. First of all
Latin America has the lowest intra-regional trade integration and intra-industry trade and is still
predominantly dependent on commodity exports. Furthermore as observed by Arroyo (2002),
levels of trade openness are also different among countries. While Central American countries
and Mexico are very open, Mercosur countries are relatively closed. Andean Community has an
intermediate level of openness. As found in this paper, trade partner similarity is the highest in
Latin America in comparison to all other regions. In fact, trade with US and Canada and
European Union exceeds intra-regional trade for Mercosur countries. Latin American countries
have the lowest global financial integration measures in comparison to other regions. With the
exception of NAFTA, there is also little evidence for intra-regional financial integration. In
contrast, major sources of international banking and equity flows come from European Union, the
United States, Canada and Japan. Finally when it comes to macroeconomic convergence and
volatility, regional arrangements in Latin America suffer from periodic exogenous shocks,
divergent macroeconomic and fiscal performance and exchange rate instability among members.
Considering these factors, despite high correlations observed during 1980s due to debt crisis, it
can be clearly seen that there is hardly any evident trend for regional synchronization when
contrasted with NAFTA, ASEAN and European Union. Thus formation of free trade areas is no
guarantee for higher synchronization if member countries have low degrees of trade and financial
integration, diverse macroeconomic fundamentals as well as lack of policy coordination.
Having identified the stylized facts and trends, the next stage of this paper is going to
look at the determinants of business cycle synchronization in output in a regression framework
for the entire period of 1970-2003. In the following section, GMM-IV and three-stage-least
squares simultaneous equations regression models will be explained and estimation results will be
presented. Finally the marginal impacts of significant variables over the average output
correlation will be calculated.
V. Econometric Methodology
Business cycle synchronization is measured bilaterally by computing simple
contemporaneous correlation between cyclical components of real GDP for country i and j over
time period 1970-2003. Output measure captures the aggregate economic activity and cyclical
component is derived by using band pass filter.
var( yi ). var( yj )
25
There are in total 1081 bilateral correlations for 47 countries included in the study. However due
to missing data for some countries, results are obtained using 702 bilateral correlations.12
Econometric estimation of bilateral business cycle correlations is conducted using GMM-IV.
(1)
where Tij captures the bilateral trade integration using fta and logarithms of trade1, trade2,
intratrade and tradepartner measures. Fij captures the financial globalization of the country pairs
using logarithm of finglobalization measure. In order to distinguish the impact of different
degrees of financial openness, country pairs with more than one standard deviation above or
below the average logarithm of finglobalization measure are given dummy variable to identify
pairs with high and low degrees of financial openness.13 In the regression analysis these dummy
variables are interacted with logarithm of finglobalization measure to estimate the differential
effect of different degrees of openness on synchronization. Mij includes the measures related to
macroeconomic similarity. Logarithm of govtspending measure and logarithm of realexchrate
measure are used in the regression to estimate the effects of fiscal policy similarity and the
bilateral real exchange rate volatility. Sij includes variables related to similarity of economic
structure such as logarithm of structure, commoditydummy and oil measures. Finally Xij includes
variables that capture the fixed characteristics such as geographical region and common language.
Table 9 shows the GMM-IV and OLS estimation results of the model. Trade1, trade2 and
intratrade measures are introduced separately in three different specifications. Table 10 shows the
diagnostic tests conducted for each specification. Durbin-Wu-Hausman tests clearly indicate that
trade variables are endogenous and need to be instrumented with standard gravity variables.
Larger economies have higher trade volumes therefore logarithm of the product of average real
GDPs of two countries is a good instrument to capture the overall economic size of the pair.
Logarithmic product of average populations of two countries is another instrument for bilateral
trade intensity and intra-industry trade because big countries have higher volumes of trade.
Finally distance matters because geographical proximity facilitates the trade integration between
countries. First stage results and instrument quality tests show that gravity variables are
appropriate instruments for trade measures therefore estimation results are robust to weak
identification or underidentification problems. Overidentification tests and C-statistics show that
12
Belgium, China, Germany, Israel, Paraguay, Poland, Romania, Switzerland and South Africa are not included in the
regression analysis.
13
Table 7 shows that 114 country pairs have high degree of financial globalization. Pairs with United Kingdom, Hong
Kong, Singapore and Netherlands are included in this category due to the fact that these countries are international
financial and banking centers. 74 pairs have low degree of financial globalization. Specifically pairs with Bolivia,
Colombia, Peru, Morocco, Egypt, Indonesia, India, Turkey and Greece fall into the category of low financial openness.
26
excluded instruments are orthogonal to the errors and other variables like finglobalization,
govtspending and realexchrate are truly exogenous and need not be instrumented.
Despite the fact that Pagan-Hall statistics fail to reject the null that errors are
homoscedastic, estimation of the model is still done with GMM-IV method. GMM-IV estimation
in the absence of heteroscedasticity is asymptotically no worse than 2SLS-IV in large samples.
But most importantly for synchronization variable there might be a problem with independency
between observations when one countrys idiosyncratic business cycle influences the correlation
coefficients with the rest of the countries in the sample. For example German-Japan correlation
over 1970-2003 period may not be independent from German-France correlation over the same
period. Advantage of GMM-IV method is that it provides a robust estimation when observations
from the same group are correlated with each other but not with observations from other groups.14
Results from the analysis show that bilateral trade intensity, intra-industry trade and
similarity in economic structures are the most important determinants of bilateral output
correlations. There are no statistically significant effects from trade partner similarity when
bilateral trade intensity relative to GDP and intra-industry trade is controlled for. However there
is weak effect from trade partner diversification when bilateral trade relative to total trade
measure is used. These results do not give support to the conclusion of Kose and Yi (2002) that
for small countries what matters for their GDP correlation is not so much their bilateral trade but
their indirect trade with the rest of the world. On the contrary this paper finds that bilateral trade
intensity is the most important factor for cycle synchronization.
There is also no statistically significant evidence that free trade area membership
increases synchronization when similarity of macroeconomic policy measures is accounted for.
Specifically, there is evidence that similarity in idiosyncratic fiscal shocks increases bilateral
output synchronization while bilateral real exchange rate volatility has no statistical effect.
Nevertheless fiscal policy does not have a significant influence when intra-industry trade intensity
is controlled for. These results also confirm the previous discussion that being a member of free
trade area by itself does not increase synchronization between pairs if trade intensity, similarity of
economic structure and convergence in macroeconomic fundamentals are not strong. Furthermore
there is also no significant evidence that common cultural background increases synchronization.
On average global financial integration has a positive but weak effect in second and third
specifications when bilateral trade relative to total trade and intra-industry trade measures are
used. Financial openness coefficient ceases to be significant when bilateral trade volume to GDP
14
Clark and van Wincoop (2001) and Thellesen (2003) use GMM-IV estimation precisely to address the same problem.
27
ratio is controlled for. This result indicates that strong bilateral trade integration relative to the
size of the economies dominates the effect from gross capital flows. However results show that
country pairs with high degree of financial openness benefit from higher output synchronization.
Commodity exporters have higher synchronization but this effect is not significant. Oil price
shocks increase synchronization for pairs with similar oil import dependencies.
When marginal effects of variables are computed, one standard deviation increase in
bilateral trade intensity relative to total GDP raises average correlation from 0.116 to 0.225. One
standard deviation increase in trade1 measure roughly corresponds to fivefold increase in bilateral
trade to total GDP ratio. Similarly for trade2 and intratrade measures, one standard deviation
increase in those variables raises correlations by 0.09. It is notable that impact of intra-industry
trade is very big. Structural similarity measure increases the average correlations from 0.116 to
0.16. Likewise finglobalization and govtspending variables roughly increase average output
correlation by 0.02. In conclusion, trade integration especially in the form of intra-industry trade
is the main driving force behind output synchronization followed by structural similarity.
Equation (1) provides an estimate of the total effects on cycle synchronization. However
there are various feedback effects between economic linkages that can not be identified using
reduced form estimation. For example relationship between financial openness and trade
integration or similarity of economic structures and patterns of trade can not be explicitly
measured. Coefficient estimates in the reduced form contains not only the direct effect of the
variable on cycle synchronization but also the indirect effects emanating through other variables.
Therefore in order to separate direct and indirect impact of economic linkages on business cycle
synchronization and identify the feedback between variables, simultaneous equations system
similar to Imbs (2004) is estimated.
(1)
(2)
(3)
(4)
First equation measures the output synchronization using the same variables and logarithmic
transformation as in GMM-IV model. Identification of the system however requires distinct
instruments for Tij, Fij and Sij. 15
15
Gravity measures are used as instruments for trade equation. ITO capital account openness measure instruments for
financial globalization suggesting that countries with higher levels of capital account liberalization can engage in
greater volumes of financial asset transaction in international capital markets. ITO measure is not introduced in
logarithms. Other instruments are population and distance. For structure equation, logarithm of average real per capital
28
Table 12 shows the results from three-stage-least-squares estimation of the three models
using different measures for trade integration.16 Results from first equations show that trade
integration variables in all specifications have comparable and similar coefficient estimates to
GMM-IV model. Structure variable is highly significant as a determinant of output correlations.
Oil measure has statistically positive but weak effect on output synchronization. Interestingly
financial globalization, government spending similarity, real exchange rate measure, FTA
membership, common language and trade partner similarity give the expected coefficient signs
but have no statistically significant effect on synchronization when direct and indirect effects as
well as feedbacks between variables are controlled for. Trade equations in Model I and Model III
show that financial openness increases bilateral trade volume to GDP ratio and intra-industry
trade intensity. However the effect is not robust to bilateral trade volume to total trade measure.
Furthermore structural similarity stimulates bilateral trade integration and intra-industry trade.
Gravity variables all have expected coefficients signs showing that larger economies trade more
and geographical proximity increases bilateral trade. In the finance equation, similar feedback
effect from trade intensity is observed. Countries that have high degrees of trade integration and
intra-industry trade are also the pairs that engage in higher volumes of international financial
transactions. Differences in economic structures stimulate financial integration giving support to
the view that countries that are specialized in production diversify their idiosyncratic output and
consumption risk by engaging in international asset transactions in global capital markets. Small
countries pairs are found to be more financially open. Finally structure equation shows that
bilateral trade integration, intra-industry trade as well as financial openness converge economic
structures between countries. This finding gives support to the existing literature that intraindustry trade and FDI stimulates integration of various stages of production through outsourcing.
Disparity between development levels of two countries diverges the economic structures.
Table 13 measures the direct and indirect effects of one standard deviation increase in
variables on average band pass filter output correlations estimated by 3SLS method.
17
Results
show that total effect of bilateral trade increases average output correlations from 0.11 to about
difference between two countries is used as an instrument for economic similarity on the basis of the argument by Imbs
(2003) that economies diversify and converge to similar productive structures as they develop.
16
Number of observations is lower than GMM-IV model because data for ITO measure is not available for Hong Kong
and Hungary. One advantage of excluding Hong Kong and Hungary is that they fall into the category of countries with
high financial integration. Therefore omission of financial outliers from the estimation will give us more robust results
regarding the effects of financial globalization.
17
All GMM-IV and 3SLS estimation results are subject to outlier control tests and results are also robust to alternative
output synchronization measures using Hodrick Prescott filter and first differencing.
29
0.20. Total effect of financial globalization is not significant. One standard deviation increase in
structural similarity increases the average correlations from 0.11 to about 0.16.
Indirect effects of each variable are calculated using the coefficient estimates of the
system.
18
Most interesting finding in this table is that although total effect of financial
globalization is very small and statistically insignificant, financial integration effects output
correlations mainly through its impact on bilateral trade integration and intra-industry trade. The
effect of one standard deviation increase in combined gross private flows to GDP ratios of two
countries leads to an increase in average output correlations by about 0.058 in Model I and 0.063
in Model III. Similarly financial globalization leads to a convergence in economic structures that
in turn increases trade integration. The effect of this relationship is an increase in average output
correlations by 0.004 and 0.007 in first two models and Model III respectively. Furthermore
financial globalization has statistically significant indirect effects operating through structure.
Impact on structural similarity increases average output correlations by around 0.02 and effects
through trade and structure increases average correlations by 0.006 in Model I and 0.007 in
Model III although this result is not robust in Model II. Finally specialization effects are observed
however the negative impact on average correlation is very small.
In conclusion, findings of 3SLS estimation confirm the previous results that trade
integration especially in the form of intra-industry trade is the main driving force behind output
synchronization followed by structural similarity. However macroeconomic variables cease to
have any significant effect when direct and indirect effects of linkages are controlled for. Oil
price shocks increase bilateral output co-movements for country pairs with similar fuel import
dependencies. In contrast to GMM-IV results, although coefficient estimates show positive
impact from financial globalization, total effect is not statistically significant. However financial
globalization boosts trade integration and converges economic structures and therefore indirectly
effects output synchronization.
18
For example, total effect of Tij on Yij is given by 2 coefficient in the first equation. However this coefficient
incorporates both the direct and the indirect effects of trade measure. One standard deviation increase in trade measure
increases financial globalization through third equation so effect of trade through financial globalization is given by 2 *
3. Indirect impact of trade through structure equation is given by 2* 5. Furthermore trade will impact Fij which in
return leads to an effect on Sij and ultimately on output correlations. This effect is given by 2* 3* 5. Finally trade
effect operating through Sij which in turn changes Fij is given by 2* 3* 3.
30
VI. Conclusion
Over the last decades, there has been resurgence in the interest for globalization and how
economic integration affects the co-movement of business cycles across countries. In this respect,
this study looks at the multiple channels of business cycle synchronization in a unified framework
and introduces new variables such as trade intensity, intra-industry trade, trade partner similarity,
free trade area membership, economic similarity, global financial integration and macroeconomic
policy similarity measures as well as global oil shocks to explain linkages behind synchronization
of 47 countries including 27 emerging markets.
First part of the paper looks at the regional evolution of major economic linkages and
bilateral contemporaneous correlations of cyclical components of real GDP, investment and
consumption for oil shock, debt crisis and globalization periods. Results show that bilateral
correlations are on the average unchanged for all countries but there are significant variation
among income and regional groups within which correlations have either increased or decreased
over time. Regional cyclical clusters in European Union and among Japan, Korea, Hong Kong
and ASEAN countries have become more evident from oil shock period to globalization in
comparison to Latin America and G-7.
Second part of the paper conducts a GMM-IV and simultaneous equations estimations on
output synchronization for 1970-2003. Results show that bilateral trade intensity, intra-industry
trade and similarity in economic structures are the most important determinants of output
correlations. There are no statistically significant effects from trade partner similarity and being
commodity exporter when macroeconomic policy measures are accounted for. Specifically, there
is evidence that similarity in idiosyncratic fiscal shocks increases bilateral output synchronization
while bilateral real exchange rate volatility has no significant effect. On average global financial
integration has a positive but weak if not insignificant effect. However the relationship is nonlinear and synchronization increases for country pairs with higher degrees of financial openness.
Simultaneous equations estimation shows that there is a strong positive feedback from financial
openness to trade integration. Oil price shocks increase synchronization for pairs with similar oil
import dependencies.
Although regional economic integration is an integral part of globalization, formation of
free trade areas is no guarantee for higher synchronization if member countries have low degrees
of trade and financial integration, diverse macroeconomic fundamentals as well as lack of policy
coordination. For long-run feasibility of monetary unions, trade integration especially in the form
of intra-industry trade seems to be the main determining factor.
31
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Affected the Mexican Economy? IMF Working Paper WP04/59.
Kouparitsas, Michael A. (November 2003) International Business Cycles under Fixed and Flexible
Exchange Rate Regimes Federal Reserve Bank of Chicago Working Paper No. 2003-28.
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Monetary Union in Europe, edited by Francesco Giavazzi and Fransisco Torres, pp. 24161. New
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Kwanho Shin Yunjong Wang (2004) Trade Integration and Business Cycle Synchronization in East
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Lane, Phil and Gian-Maria Milesi-Ferretti (2001) The External Wealth of Nations: Measures of
Foreign Assets and Liabilities for Industrial and Developing Countries Journal of International
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Lewis, Karen (April 1996) What Can Explain the Apparent Lack of International Consumption Risk
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Lumsdaine, Robin L. and Prasad, Eswar S. (April 2002) Identifying the Common Component of
International Economic Fluctuations: A New Approach IMF Research Department and IZA, Bonn
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Financial Globalization on Developing Countries: Some Empirical Evidence International Monetary
Fund Occasional Paper No. 220.
35
36
Asia
Emerging Market
China F
Hong Kong
India
Indonesia C, F
Korea
Malaysia C
Philippines C
Singapore
Thailand C
Developed
Australia C,F
Japan
New Zealand C
Europe
Emerging Market
Developed
Hungary
Austria
Poland
Belgium
Romania
Denmark F
Turkey C
England F
Finland
France
Germany
Greece C
Italy
Netherlands
Norway F
Portugal
Spain
Sweden
Switzerland
Notes: C and F denote a commodity exporter and fuel exporter respectively in 1970-79 period.
Emerging markets countries are classified according to Morgan Stanley Capital International definition.
Hong Kong and Singapore are also regarded as emerging markets.
37
Figure 1 Band Pass Filter Output, Investment and Consumption Correlations for 1970-79
OUTPUT CORRELATIONS
1970-79
EGY
ISR
MOR
TUR
HUN
POL
ROM
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
GRC
POR
SPA
FRA
ITA
GER
UK
USA
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
PER
VEN
AUS
NZL
CHN
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
THA
ZAF
EGY
ISR
MOR
TUR
1
-0.609
1
0.647 -0.8162**
1
0.709* -0.9135** 0.9111**
1
0.5295 -0.2254 -0.0224 0.0494
0.7791** -0.3836 0.5006
0.4661
0.6645 -0.4425 0.7577** 0.6222
0.5735 -0.6114 0.9016** 0.7908**
-0.8895** 0.4625 -0.6748* -0.6692
-0.6641 0.0035
0.0045 -0.1887
-0.766** 0.2412 -0.2983 -0.2205
-0.3057 -0.108
0.1686
0.1166
-0.6212
0.354
-0.5737 -0.5012
-0.7385* 0.8493** -0.6958* -0.8224**
-0.3692 0.7505* -0.3285 -0.4883
0.0397 -0.0704
0.046
0.0806
-0.7443* 0.1539 -0.3263 -0.3253
-0.7658** 0.1851 -0.5458 -0.3901
-0.6645 0.2693 -0.3469 -0.3665
-0.7213* 0.331
-0.2208 -0.3069
-0.4843 0.1001 -0.0855 -0.1623
-0.4243 0.2797 -0.3152 -0.359
-0.2597 0.0152
-0.124 -0.1082
-0.6577 0.2747
-0.291 -0.3185
-0.675* 0.9441** -0.7483* -0.8184**
-0.4545 0.1742 -0.2768 -0.3242
-0.4794 0.2707 -0.1079 -0.4428
-0.806** 0.2167 -0.1294 -0.2125
-0.2545 0.5888 -0.4918 -0.6594
0.4904
0.1256
0.3866
0.2101
0.7237* -0.7199* 0.5899
0.6322
-0.4803 0.6853* -0.6353 -0.6366
-0.379
0.4546 -0.1992 -0.3394
0.6729* -0.835** 0.8561** 0.8167**
-0.3237 0.4111
-0.421 -0.2964
-0.767** 0.5333 -0.5636 -0.4835
-0.2158 0.7853** -0.7935** -0.8076**
0.6325 -0.5762 0.1538
0.4445
-0.435
0.262
-0.3434 -0.3576
0.1833 -0.1902 0.2421
0.1665
-0.4423 -0.1829 0.0492
0.05
-0.7412* 0.2647 -0.6775* -0.5223
-0.7626** 0.1418 -0.2251 -0.2452
-0.1025 -0.3946 0.3735
0.3818
-0.8966** 0.5176 -0.7004* -0.6629
0.0627 -0.2166 -0.009
0.0969
-0.5429
0.558
-0.4625 -0.4334
HUN
POL
ROM
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
GRC
POR
SPA
FRA
ITA
GER
UK
USA
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
PER
VEN
AUS
NZL
CHN
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
THA
ZAF
EUROPE
1
0.698*
0.2706
-0.2616
-0.1294
-0.298
-0.5739
-0.2722
0.056
-0.5489
-0.6328
-0.0293
-0.2427
-0.1722
-0.1012
-0.3975
-0.1518
0.0345
0.1501
-0.2688
-0.498
0.263
-0.0142
-0.853**
0.4635
-0.1602
0.4777
0.0937
-0.5382
0.4077
-0.2923
-0.6643
0.2818
0.5752
-0.1142
0.4423
-0.1873
-0.0153
-0.3715
-0.3327
-0.3134
0.491
-0.5982
1
0.8447**
0.2875
-0.5262
-0.3232
-0.518
0.0016
-0.2184
-0.7502*
-0.4045
0.0639
-0.4105
-0.5797
-0.1563
-0.2333
-0.0483
-0.0199
0.1457
-0.2338
-0.5855
0.1517
-0.1181
-0.7527*
0.3009
0.3899
0.5373
0.0421
-0.4846
0.7556**
-0.2608
-0.8084**
-0.091
0.2602
-0.2529
0.6614
-0.1576
-0.5525
-0.392
-0.0825
-0.6511
0.4338
-0.6529
1
0.658
-0.58
-0.1234
-0.3323
0.0609
-0.4558
-0.6744*
-0.1568
-0.1364
-0.4307
-0.6088
-0.2036
-0.0405
-0.0674
-0.2218
-0.062
-0.2439
-0.5541
0.0334
0.0307
-0.4091
0.0642
0.5915
0.3268
-0.1527
-0.13
0.7938**
-0.426
-0.5928
-0.4528
-0.0468
-0.4565
0.4919
-0.1483
-0.7359*
-0.2834
-0.0073
-0.7348*
0.1165
-0.3956
1
-0.7566**
-0.154
-0.3319
-0.1078
-0.8182**
-0.4282
0.0357
-0.1896
-0.549
-0.6208
-0.589
-0.3136
-0.372
-0.5945
-0.4838
-0.5075
-0.4987
-0.566
-0.1276
-0.0538
-0.6154
0.6074
0.3251
-0.7432*
0.1926
0.5751
-0.4814
-0.296
-0.7244*
0.0613
-0.5543
-0.1377
-0.2608
-0.8055**
-0.4023
0.1259
-0.7724**
-0.4244
-0.0914
1
0.6874*
0.722*
0.3209
0.7952**
0.4463
-0.0087
-0.0534
0.8254**
0.8977**
0.8051**
0.7298*
0.5628
0.5267
0.4496
0.7031*
0.4175
0.7387*
0.4957
0.5623
0.4497
-0.7382*
-0.5771
0.5954
0.0982
-0.4645
0.2254
0.5687
0.2286
-0.4144
0.4339
0.0776
0.5412
0.9066**
0.8084**
0.0575
0.8974**
0.2704
0.2982
1
0.5916
0.6144
0.5013
0.1694
-0.1341
0.0651
0.8016**
0.55
0.724*
0.7439*
0.7145*
0.4884
0.4774
0.6866*
0.0219
0.6583
0.7359*
0.7115*
0.2256
-0.4997
-0.2189
0.197
0.0286
0.0772
-0.0504
0.197
-0.2983
-0.5931
0.3904
0.3048
0.7526*
0.4922
0.8431**
0.455
0.585
0.2404
-0.0456
1
0.5868
0.6306
0.2782
0.1363
0.0811
0.7813**
0.7845**
0.7711**
0.8752**
0.6259
0.4324
0.4345
0.7814**
0.363
0.5298
0.0914
0.8101**
-0.0113
-0.4669
-0.5733
0.4807
0.1196
-0.297
0.4343
0.6909*
-0.2089
-0.5105
0.3519
0.0643
0.6558
0.6464
0.8911**
0.4023
0.7494*
0.211
0.4098
1
0.6498
-0.0781
-0.1945
0.717*
0.7743**
0.2421
0.7753**
0.6592
0.945**
0.8167**
0.8687**
0.8764**
-0.009
0.5635
0.0831
0.5265
0.1037
-0.2656
0.1828
0.4104
-0.5198
0.27
0.5659
-0.1148
-0.226
-0.4348
0.7384*
0.6849*
0.9243**
0.2743
0.7708**
0.8911**
0.4986
0.6667
-0.4122
1
0.229
-0.1952
0.499
0.8835**
0.6761*
0.9136**
0.6468
0.8216**
0.8907**
0.8592**
0.8902**
0.3203
0.791**
0.1515
0.3547
0.5049
-0.6728*
-0.1612
0.7831**
-0.4396
-0.2507
0.6393
0.1858
0.3556
-0.2694
0.7986**
0.4935
0.7497*
0.8115**
0.7832**
0.4072
0.8759**
0.7183*
-0.1512
1
0.7794**
-0.0191
0.2297
0.2322
0.1501
0.239
0.0618
0.1781
-0.116
0.2305
0.9306**
-0.0819
0.3132
0.5208
0.2195
0.0274
-0.6559
0.326
0.5754
-0.906**
0.3701
0.6548
0.5807
-0.5712
0.327
-0.4748
-0.0893
0.2981
0.1965
-0.1842
0.5847
-0.4569
0.6329
1
-0.1924
-0.1992
-0.1863
-0.1399
0.1644
-0.1767
-0.1394
-0.3848
-0.0349
0.8343**
-0.3209
0.1186
0.3443
0.0862
0.5863
-0.6695*
0.2153
0.744*
-0.6733*
0.2295
0.5535
0.3603
-0.6403
-0.0722
-0.464
-0.3968
-0.2461
-0.0986
-0.3123
0.1046
-0.6578
0.7121*
1
0.4207
-0.1277
0.3575
0.0454
0.6276
0.7549**
0.7482*
0.5362
0.042
0.1191
-0.3154
0.0983
0.0142
-0.1108
0.5511
0.2659
-0.7462*
0.1267
0.7731**
-0.3903
0.1881
0.0003
0.8591**
0.5315
0.5941
0.094
0.2568
0.7868**
0.312
0.6235
-0.6095
1
0.7526*
0.928**
0.7723**
0.8852**
0.7947**
0.7833**
0.9312**
0.2086
0.7409*
0.3253
0.6813*
0.2479
-0.7212*
-0.1867
0.5192
-0.2847
-0.1433
0.4701
0.2902
-0.015
-0.4149
0.7403*
0.3867
0.9129**
0.7943**
0.9581**
0.6066
0.885**
0.5566
-0.0817
1
0.6696*
0.6119
0.4017
0.3088
0.3235
0.5681
0.207
0.5749
0.1919
0.5539
0.0854
-0.8548**
-0.5029
0.363
0.0584
-0.3782
0.1731
0.6504
-0.0345
-0.1208
0.2629
-0.0887
0.5214
0.9399**
0.7596**
0.1066
0.7965**
0.2357
0.3573
1
0.8793**
0.9184**
0.8396**
0.8396**
0.9627**
0.2402
0.8981**
0.3468
0.527
0.4913
-0.5643
-0.2699
0.7491*
-0.2943
-0.0773
0.47
0.2222
0.0746
-0.5162
0.6612
0.5781
0.8393**
0.6945*
0.9286**
0.4726
0.8041**
0.6592
-0.0971
1
0.7614**
0.5604
0.5429
0.8448**
0.3383
0.7651**
0.4335
0.6985*
0.3643
-0.2999
-0.563
0.6455
0.1101
-0.1259
0.2876
0.4607
-0.13
-0.7555**
0.35
0.3649
0.6635
0.4916
0.9018**
0.3272
0.6629
0.311
0.2382
1
0.9194**
0.9275**
0.9613**
0.1246
0.7626**
0.283
0.5151
0.3723
-0.4052
0.0251
0.6063
-0.4686
0.118
0.5468
-0.0359
-0.0159
-0.5147
0.7959**
0.71*
0.9266**
0.4697
0.8572**
0.7321
0.6717
0.714
-0.3515
1
0.9516**
0.892**
0.2646
0.694*
0.176
0.2971
0.5233
-0.3871
0.0983
0.7233*
-0.5748
-0.0501
0.7029*
-0.1235
0.3419
-0.3806
0.9239**
0.6971*
0.7852**
0.4946
0.6774*
0.6054
0.7025*
0.7633**
-0.4167
1
0.866**
-0.0082
0.7431*
0.0677
0.2083
0.4168
-0.4578
0.2522
0.6316
-0.734*
0.1998
0.6099
-0.2487
0.1238
-0.2149
0.8322**
0.815**
0.86**
0.4713
0.6857*
0.6902*
0.5819
0.9056**
-0.5611
HUN
POL
ROM
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
GRC
POR
SPA
FRA
ITA
GER
UK
USA
EUROPEAN UNION
G-7
NAFTA
AMERICAS
1
0.3187
1
0.7595** 0.0111
1
0.2372
0.1358
0.4869
0.6215
0.4278
0.2037
0.3639
0.3249 0.6895*
-0.4653
0.1315 -0.5336
-0.2034 -0.7149* -0.1998
0.7057*
0.5634 0.7172*
-0.3193
0.4938 -0.3179
-0.1155 -0.8998** 0.1266
0.6347
0.5451
0.1408
0.2201
0.658
0.0083
0.0713
0.6593
0.0796
-0.5625
-0.6004 -0.3808
0.7825**
0.337
0.4103
0.547
-0.3276 0.6915*
0.8814** -0.0996 0.6611
0.6124
0.2624
0.5936
0.9198** 0.2054 0.7497*
0.6325
-0.2026 0.2039
0.8162** 0.5757
0.5716
0.6199
-0.314 0.7054*
-0.1109
0.6426 -0.2238
MERCOSUR
1
0.3067
1
0.5527 -0.2091
1
-0.1313 -0.2876 -0.0486
1
ANDEAN
-0.3313 -0.4974 -0.2419 0.0183
1
0.1524
0.1236 0.7685** -0.1637
-0.4214
1
0.3472
0.3456 -0.0936
0.335 -0.7808** -0.1599
1
-0.0369 -0.3569 -0.141
0.1078
0.7046* -0.3514 -0.5355
-0.421
0.2987
0.0867 -0.1117
-0.0299
0.5949 -0.3703
0.0645
0.6675 -0.1454 -0.2284 -0.8812** 0.2099 0.6853*
0.0454 -0.2778 0.6398
0.0333
-0.2064
0.581
-0.0091
-0.6113 -0.6537 -0.4067 -0.2276
0.5961
-0.4846 -0.4421
0.0408
0.3667
0.2824 -0.3988
0.1809
0.5197 -0.5411
0.1434 -0.1831 0.5237 -0.0861
0.4306
0.486 -0.7315*
0.1783
0.5758
0.0755 -0.6004
0.1491
0.3379 -0.5223
0.1721
0.4323
0.2235 -0.9138** -0.3438
0.4544 -0.1364
0.3609 0.7707** 0.1971
-0.611
-0.3365
0.505
-0.1197
-0.1476 0.4818 -0.2936 -0.2581
0.4469
0.0112 -0.5796
0.2556
0.6622
0.3074 -0.6709* -0.4466
0.6218 -0.0437
-0.101 -0.1531 0.3875 -0.4694
0.4425
0.5137 -0.8869**
0.0599
0.444
-0.1491 0.0953 -0.8971** 0.0647 0.8798**
1
-0.401
1
-0.7666** 0.183
1
-0.6421
0.4317
0.0572
0.2835
-0.2001 -0.3829
-0.2022 0.7923** -0.0643
0.604
0.2231 -0.6246
0.2208
0.4367 -0.0136
-0.4356
0.3276
0.4954
-0.0994
0.3721
0.4006
0.3536
0.5057
-0.207
-0.5789
0.5929
0.5565
0.4248
0.4102 -0.4597
-0.7409* -0.0347 0.9201**
ASIA
1
-0.0778
0.3817
-0.0209
-0.2667
0.2163
-0.1807
-0.3967
0.3372
0.0594
0.0905
1
-0.2612
-0.1526
-0.2913
-0.0395
-0.5433
-0.1387
-0.4191
0.134
-0.346
IND
1
0.4512
1
0.7256* 0.5832
1
ASEAN
0.4916
0.0091
0.554
1
0.569
0.3523 0.8783** 0.7069*
1
0.6722* 0.4728 0.8431** 0.1491
0.5637
1
0.7239* 0.0693
0.642 0.8789** 0.8125** 0.3173
1
0.5963 0.8689** 0.6919*
0.379
0.4509
0.5263
0.3142
-0.3646 -0.7603** -0.3774 0.1747
0.0633 -0.4892 0.2347
1
-0.7144*
THA
ZAF
INVESTMENT CORRELATIONS
1970-79
EGY
ISR
MOR
TUR
HUN
POL
ROM
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
GRC
POR
SPA
FRA
ITA
GER
UK
USA
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
PER
VEN
AUS
NZL
CHN
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
THA
ZAF
EGY
ISR
MOR
TUR
1
0.2999
1
0.2953 -0.6222
1
0.3391 -0.7153* 0.7786**
1
0.4872 -0.2879 0.2806
0.5169
0.21
-0.278 -0.1801 0.4414
0.2858
-0.213
0.0024
0.5882
-0.0981 -0.5088 0.8397** 0.4641
-0.3575 0.6233 -0.8642** -0.9509**
-0.7758** -0.2745 -0.0399 -0.3101
-0.7168* -0.0208 -0.4579 -0.3767
-0.4142 0.0227 -0.4439 -0.2078
-0.2866 -0.0133 -0.5191 -0.3938
0.1003
0.357
0.2129 -0.3366
0.0468
0.1693
0.4155 -0.0614
0.195
0.1459 -0.2246 -0.1436
-0.5959
0.083
-0.6371 -0.6806*
-0.6914* 0.2149
-0.518 -0.7536*
-0.6345 0.5208 -0.7717** -0.8653**
-0.5181 0.5467 -0.7363* -0.8592**
-0.2182 0.2432 -0.5275 -0.4336
-0.033
0.6292 -0.7491* -0.5396
-0.389
0.1516 -0.6986* -0.4722
-0.0814 0.4839
0.0127 -0.4258
0.3204 0.8942** -0.4047 -0.5201
-0.2978 0.3094
-0.611 -0.4982
-0.342 -0.6782* 0.5496
0.3956
0.0587
0.734* -0.3172 -0.5108
-0.8173** 0.1447 -0.6206 -0.6882*
0.4871 -0.4004 0.6464 0.8837**
0.6191 -0.1944 0.1729
0.6192
-0.7231* 0.081
-0.5677 -0.4024
-0.1212
0.406
-0.0613 -0.4745
0.0097 -0.7868** 0.4347
0.6277
-0.0499 0.2185 -0.3729 -0.4269
-0.2895 0.4634 -0.3379 -0.6577
0.7394* 0.4013 -0.0883 0.1151
-0.0425 -0.8033** 0.6949* 0.6255
-0.1181 0.5201 -0.6877* -0.6796*
-0.0287 -0.0028 -0.5142 -0.0349
-0.5152 -0.131
-0.307 -0.4076
-0.4268 0.0375 -0.2499 -0.5524
-0.6793* 0.2985 -0.5535 -0.7539*
0.5656 -0.2639 0.7793** 0.7966**
-0.4535 0.5855 -0.7393* -0.8068**
-0.428 -0.3693 -0.2881
-0.09
0.1773
0.2062
0.3685 -0.0363
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
PER
VEN
AUS
NZL
CHN
1
0.2556
-0.7211*
-0.3302
0.8564**
-0.0365
0.3246
0.3813
-0.2362
-0.6269
0.1386
-0.7656**
0.6211
-0.4983
1
0.1166
-0.3095
0.2461
0.8085**
0.1174
0.5887
0.2339
-0.1099
-0.4583
0.1218
0.3959
-0.1538
1
0.0632
-0.4155
0.0312
-0.5986
-0.1886
0.7512*
0.6994*
-0.2885
0.8530**
-0.4917
0.6857*
1
-0.4724
-0.2815
0.0776
-0.7184*
-0.0825
-0.1959
0.3007
0.0504
-0.5001
0.1824
PER
VEN
AUS
NZL
CHN
1
0.3509
0.7172*
-0.114
-0.1663
-0.5088
-0.4287
0.0691
-0.8136**
0.2813
-0.2466
-0.1523
-0.4587
0.2442
0.2454
1
0.5788
-0.4741
-0.6654
0.4111
-0.7206*
-0.1235
-0.6896*
0.3972
-0.8624**
-0.7497*
-0.1696
-0.568
-0.0792
1
-0.1173
-0.5712
0.0743
-0.8502**
-0.5404
-0.8002**
0.6541
-0.2
-0.2216
0.0945
-0.3925
0.2003
JAP
KOR
HGK
INDO
MYS
PHL
SGP
EUROPE
1
0.5728
0.375
-0.2202
-0.3055
-0.2086
-0.4954
-0.3361
0.2396
-0.3871
-0.5744
-0.0299
-0.3517
-0.606
-0.7538*
-0.2984
-0.2176
-0.2013
-0.0722
-0.6271
-0.359
0.2527
0.2413
-0.6432
-0.7404*
0.6324
0.8104**
-0.5738
-0.4144
0.3349
-0.4997
-0.6275
0.5307
0.015
-0.3963
0.4689
-0.2045
-0.2953
-0.3595
0.2305
-0.5778
0.1716
-0.4177
1
0.8148**
1
-0.5509
-0.23
-0.1958 -0.4824
-0.4565 -0.4509
-0.0223 -0.2549
0.173
0.4052
0.2843 -0.0042
-0.8084** -0.8146**
-0.8215** -0.3786
0.1663
0.2816
-0.0545 -0.3324
-0.4272 -0.7086*
-0.3781 -0.3686
-0.3487 -0.4389
0.0573
0.1738
0.1236
0.2887
0.2737
0.1939
-0.8032** -0.6562
-0.3341 -0.236
0.1286 -0.2138
-0.1733 -0.0222
-0.4983 -0.3482
-0.2801 -0.3079
0.3962
0.6076
0.7926** 0.8008**
0.0241
-0.085
-0.6691 -0.7815**
0.4775
0.4373
-0.0496 -0.1001
-0.5667 -0.7323*
0.4002
0.2102
0.0603
0.1249
-0.0626 -0.0398
0.7273*
0.592
-0.1214 -0.1933
-0.3467 -0.7949**
-0.4171 -0.649
0.0458
0.3602
-0.2853 -0.4562
0.3729
0.1991
-0.6302 -0.5361
1
-0.6601
0.2983
-0.2198
-0.1602
-0.5321
0.3588
0.742*
-0.1942
-0.3907
-0.1839
-0.3096
-0.4277
-0.3082
-0.5716
-0.5462
0.3095
-0.3074
-0.6512
0.62
-0.0691
-0.1492
0.3048
-0.2858
-0.2707
0.111
0.2508
-0.1969
-0.0787
-0.5135
0.6505
-0.4532
-0.6833*
-0.0614
-0.1314
-0.2571
0.5671
-0.4504
-0.2593
0.4708
EUROPEAN UNION
1
0.2838
1
0.4411
0.1882
0.1798
0.3542
0.5554
0.4437
0.1593 -0.0117
-0.2459 0.1772
0.1067
0.0132
0.7393* 0.5147
0.7464* 0.4283
0.7891** 0.4147
0.8658** 0.5655
0.4093
0.3531
0.5214
0.0576
0.564
0.4018
0.2136
0.0226
0.4014 -0.4355
0.6846* 0.2459
-0.4094 0.7174*
0.3381 -0.2871
0.6383
0.5853
-0.8361** -0.374
-0.4582 -0.4907
0.4424
0.1744
0.3707
0.0299
-0.5406 0.0475
0.353
-0.054
0.5686
0.0303
0.0027 -0.7910**
-0.6664 0.0867
0.6284
0.1542
0.2463
0.0468
0.4132 0.6954*
0.596
0.2768
0.7822** 0.5725
-0.8909** -0.5181
0.7970** 0.1092
0.233
0.5084
-0.1501 -0.2595
1
-0.0089
-0.0594
0.1374
-0.2689
-0.5451
0.366
0.8069**
0.5979
0.3855
-0.2192
-0.1145
0.0426
0.3248
0.1509
0.4493
-0.3137
0.3678
0.6011
-0.4472
-0.5988
0.9582**
0.4757
-0.3382
-0.0149
0.6706*
-0.1549
-0.2475
-0.0796
-0.1495
-0.0455
0.6079
0.7004*
-0.4049
0.7831**
-0.0459
0.1856
1
0.4981
-0.654
0.0187
0.6798*
0.5136
-0.0263
0.4885
0.2968
0.8854**
0.7491*
0.8231**
-0.3924
-0.2589
-0.1362
0.2073
-0.2056
0.6355
-0.2909
0.0432
0.2154
-0.6205
0.2751
0.4798
-0.372
-0.6059
0.0619
0.704*
0.5727
0.6789*
-0.3718
-0.0339
-0.4227
-0.0056
0.6605
-0.667
BEL
DEN
1
-0.53
1
-0.5182 0.5816
0.5811 -0.4738
0.7923** -0.1874
0.1813
0.4291
0.2597
0.1441
0.4614
0.1216
0.7178* -0.5079
0.4805 -0.4092
0.8766** -0.6348
-0.6242 0.8969**
-0.4241 0.5692
0.4025 -0.0218
0.204
-0.2379
-0.5627 0.6684
0.4119 -0.0564
-0.4688 -0.2578
0.1619 -0.6725*
-0.0498 -0.0011
-0.4589 0.9126**
0.3091
-0.611
0.3932
-0.081
-0.287 0.7730**
-0.2379
0.121
-0.0749 -0.175
0.6235 -0.2258
0.7693** -0.8736**
0.8153** -0.3405
0.1973
0.519
0.244
0.3534
-0.8148** 0.1487
0.0124
0.3843
0.8957** -0.7183*
-0.8203** 0.9045**
1
0.06
1
-0.2443 0.4442
1
G-7
-0.0275 -0.3008 0.6551
1
0.1328
0.0827
0.6595 0.7674**
1
-0.0607 -0.0189 0.5691
0.6405 0.8166**
1
0.0102 0.8628** 0.6624
0.013
0.4832
0.4235
1
-0.0601 0.6263
0.4016 -0.0091 0.5785
0.5684 0.8317**
1
-0.3571 0.6787* 0.7842** 0.1776
0.5228
0.5456 0.9104** 0.7773**
1
0.6484 -0.5061 -0.194
0.4874
0.4134
0.2859 -0.3885 -0.1634 -0.5206
0.2639 -0.2269 -0.217
0.2319
0.3992
0.3427 -0.1637 0.3069 -0.2489
-0.5981 -0.3816 0.2826
0.4604
0.3652 0.7311*
-0.04
0.214
0.2889
0.2069
0.0713 -0.0109 -0.2515 -0.2806 -0.0749
0.133
-0.2408 0.0857
0.4387 -0.3372 -0.1574 0.4147
0.5268
0.3121 -0.2217 0.1639 -0.3266
0.0799
0.2127 0.8190** 0.748* 0.9022** 0.6473
0.5765
0.4416
0.6314
-0.0624 -0.2712 -0.8723** -0.8265** -0.8116** -0.6366 -0.4788 -0.3546 -0.5106
-0.4929 0.3112 -0.3928 -0.8489** -0.6999* -0.4926 0.0532
0.1135
0.0861
-0.2192 -0.4152 0.3592 0.7196* 0.7023* 0.4459 -0.0428
0.118
0.1784
0.3212 -0.6695* -0.077
0.6488
0.3472
0.342
-0.5457 -0.3335 -0.5248
-0.2147 0.4544
0.1101 -0.4476 -0.5356 -0.6295 0.2037 -0.2409 0.1902
0.1208
0.74*
0.6698* 0.2564
0.3949
0.0291
0.6339
0.3932
0.5012
0.2158 -0.4929 0.2211 0.8355** 0.5978
0.4371 -0.3181 -0.1411 -0.2648
-0.4167 -0.2646 -0.4856 -0.2905 -0.3994 -0.1988 -0.4701 -0.0731 -0.3731
0.2091
0.2314 -0.0345 -0.2927 -0.496 -0.7267* -0.0505 -0.5253 -0.1759
0.0445 0.8027** 0.7298* 0.2389
0.6305
0.4859 0.9038** 0.8248** 0.8081**
-0.708* 0.5176
0.3717 -0.2531 0.0335
0.2272
0.6173
0.6153 0.7962**
-0.0105 0.6628 0.8484** 0.2868
0.4225
0.4104 0.8170** 0.4121 0.8078**
-0.1435 -0.3234 0.5605 0.8680** 0.3847
0.3543
-0.212
-0.34
-0.0317
-0.1019 -0.4169 0.5111 0.8748** 0.7401* 0.8620** 0.0155
0.117
0.226
0.3566 -0.2994 -0.9388** -0.6888* -0.7178* -0.7776** -0.6055 -0.4943 -0.7911**
-0.079 -0.3469 0.4163 0.8473** 0.8336** 0.7237* -0.0002 0.2752
0.1553
-0.4389 0.6057 0.7215* 0.0457
0.1408
0.2036 0.7141*
0.346 0.8400**
0.5945 -0.5772 -0.4444 0.2491 -0.0152 -0.1877 -0.6851* -0.5342 -0.8317**
NAFTA
1
0.7204*
0.02
-0.313
0.8745**
0.1603
-0.2789
-0.7647**
0.2919
0.9018**
-0.7819**
-0.1091
0.8257**
0.0096
-0.3492
-0.133
-0.8215**
-0.3723
0.3538
0.4556
0.1268
0.5829
-0.7647**
0.8721**
AMERICAS
1
0.2252
1
-0.7612** -0.1815
0.9240** 0.081
-0.0089 0.1833
-0.2082 -0.2356
-0.2933 -0.0893
0.2127
0.4094
0.6417
0.3051
-0.8870** -0.5243
-0.006
-0.379
0.6368
0.3061
0.508
0.303
-0.7456* -0.7653**
0.1541
0.0061
-0.3311 0.3746
-0.4993 0.0047
0.0738
0.3828
0.2742 0.7538*
0.0433 -0.5769
0.6311
0.594
-0.7206* 0.1136
0.5535 -0.2443
MERCOSUR
1
-0.6728*
-0.0147
0.2841
0.0561
-0.3338
-0.3727
0.5058
-0.2992
-0.5348
-0.6404
0.5205
-0.2365
0.057
0.4318
-0.2185
-0.0874
0.087
-0.5834
0.4392
-0.3114
1
0.1964
1
-0.3068 -0.8218**
-0.5649 -0.6709*
0.4208 0.6794*
0.7487* 0.1076
-0.8498** -0.1422
0.0511
0.5259
0.7852** 0.4068
0.2344 -0.6832*
-0.5647 -0.1166
0.0939
0.6264
-0.553
0.1048
-0.4495 0.6706*
0.1929
0.4183
0.36
0.625
0.0608 -0.7606**
0.7124* 0.6179
-0.7472* 0.4421
0.7084* -0.1907
1
0.6896*
-0.4275
-0.3428
0.2682
-0.6946*
-0.6134
0.366
0.2152
-0.7137*
0.0188
-0.6139
-0.7008*
-0.6326
0.8359**
-0.6742*
-0.3019
-0.0021
ANDEAN
1
-0.5409
1
-0.7397* 0.3468
1
0.482
-0.3689 -0.7749**
-0.2054
0.029
-0.1931
-0.8287** 0.5771 0.9202**
0.4913
-0.2081 0.1812
0.11
-0.3244 -0.4165
-0.1362
0.0597
-0.247
0.6208
-0.0314 -0.7386*
-0.2037
-0.0095 -0.385
-0.6733* 0.4023
0.6445
-0.7125* 0.6474
0.6272
0.3629
-0.405 -0.0406
-0.6751* 0.7921** 0.6755*
0.2079
-0.0114 -0.6827*
-0.5463
0.0774 0.8202**
ASIA
1
-0.2105
1
-0.1999 0.4345
1
0.2338 0.6984* 0.4206
-0.0788 0.0448 -0.3238
-0.574
0.1359 -0.0852
0.3462 -0.6841* -0.4519
-0.6883* 0.275
-0.1433
0.2817
0.4998 0.7372*
-0.0192 -0.4266 -0.9560**
1
ASEAN
0.2038
1
0.2254 0.6835*
1
-0.7337*
-0.56 -0.6873*
1
-0.0263 0.5923 0.8305** -0.5641
1
0.8605** 0.0299
0.036
-0.6318 -0.215
1
-0.5983 0.3166
0.1049
0.4611
0.2727 -0.8769**
CONSUMPTION CORRELATIONS
1970-79
EGY
ISR
MOR
TUR
HUN
POL
ROM
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
GRC
POR
SPA
FRA
ITA
GER
UK
USA
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
PER
VEN
AUS
NZL
CHN
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
THA
ZAF
EGY
ISR
MOR
TUR
HUN
POL
ROM
1
-0.3188
1
-0.0865 0.0083
1
-0.0339 -0.4352 -0.5437
1
0.7378* -0.3896 -0.4549 0.2827
1
-0.2727 -0.104 0.6724* -0.2656 -0.7073*
1
0.4146 -0.3689 0.5519 -0.2055 0.4122 -0.1233
1
0.228
-0.598 -0.3162 0.3691
0.0149
0.1366
-0.278
0.4746
0.1802 -0.6553 0.0606
0.5729 -0.4252 -0.3652
-0.0297 0.0675
-0.397
0.2632 -0.2681 0.3543 -0.8481**
0.083
0.2566
-0.239 -0.5399 0.0556
0.0288 -0.3919
-0.5524 0.0571
0.3424 -0.3848 -0.6966* 0.7822** -0.4058
0.1148 -0.1974 0.7246* -0.5366 -0.0455 0.5519
0.5004
-0.474
0.3983 -0.0294 -0.5413 -0.3181
-0.21
-0.1087
0.1723 -0.3337 -0.0825 -0.3282 0.2227 -0.2971 0.2962
-0.3447 0.5566
0.6386 -0.6299 -0.6163 0.6521 -0.1008
0.1913 -0.2705 -0.834** 0.4919
0.5064 -0.7413* -0.1977
-0.0813 -0.1234 -0.7396* 0.3781
0.1729 -0.0962 -0.7197*
-0.2259 0.4612
0.0959 -0.5418 -0.2421 0.3188 -0.3598
0.2622
0.1026 -0.5734 -0.2638 0.2622 -0.2318 -0.483
-0.1662 0.2467
0.3661
-0.62
-0.3892 0.6354 -0.2475
-0.0518 0.7602** 0.0067
-0.628 -0.0581 -0.0699 -0.2231
-0.3517 0.4196
0.1477 -0.4037 -0.3878 0.4785 -0.4435
0.5944 -0.1001 -0.1017 -0.5262 0.5258 -0.1766
0.184
0.0143
0.4621 -0.5129 -0.3152 0.2801 -0.7348* -0.1411
0.5011 -0.0043 -0.2399 -0.0862 0.4773 -0.0203 -0.1388
0.2628
0.0888 -0.7694** 0.3151
0.4039 -0.7720** -0.2533
0.3951 -0.3296 -0.3419 0.0489
0.2925
0.1941 -0.3671
0.0428 -0.2906 -0.6376 0.9442** 0.2354 -0.2009 -0.4337
-0.1558 0.6684 -0.2367 -0.3603 -0.0419 -0.5902 -0.0814
-0.2214 -0.3405 -0.114
0.2971 -0.4644 0.6087 -0.6162
0.2273
0.166
-0.0262 -0.1508 0.3566 -0.0066 0.0193
0.4813 -0.4961 0.0944 -0.1526 0.1865 -0.0541 0.3671
-0.2365 -0.4482 0.5007
0.2865 -0.3381 0.3534
0.3961
0.5919 -0.6547
0.047
0.3991
0.4255 -0.1597 0.5241
0.064
0.3729 -0.6607 0.1174
0.5019 -0.9506** -0.052
-0.2449 0.5941 -0.5658 -0.2677 0.0406
-0.573 -0.4393
-0.3526
0.167
-0.0109 0.6412 -0.2835 0.1066 -0.2183
-0.2311 0.821** 0.0189 -0.6986* -0.3034 0.0389
-0.384
-0.4134 0.1744
0.2986 -0.6187 -0.6838* 0.6454 -0.3978
-0.1669 0.6243 -0.0522 -0.2371 -0.1762 0.1875 -0.4702
0.3078
-0.327 -0.0295 0.3489
0.5945
-0.621 0.7264*
0.6096
0.1521 -0.4207 -0.095 0.6796* -0.4146 -0.0526
0.6149
0.2702 -0.0052 -0.4766 0.5376 -0.2563 0.2404
0.295
0.282
-0.1921 0.4341
0.1845 -0.1017 -0.192
0.2113
0.2916
0.1353 -0.833** -0.133
0.2151 -0.1571
-0.0602 -0.0287 -0.7899** 0.4461
0.3188 -0.7759** -0.2529
NOR
SWISS
AUT
NLD
FIN
SWE
GRC
POR
SPA
1
0.3792
-0.5153
0.3934
-0.6746*
-0.3692
-0.6027
0.062
0.5324
-0.1467
0.8975**
0.0704
0.4645
0.3444
0.0404
-0.397
0.394
-0.1273
0.3579
0.6421
0.4401
-0.1542
-0.3298
-0.354
-0.489
0.3671
0.1104
-0.2003
-0.122
-0.1876
0.9427**
1
0.3982
0.6784*
0.2555
0.1492
0.4209
0.2436
0.1338
0.5576
0.1951
0.7622**
0.5358
-0.2546
0.4843
0.3609
-0.3318
-0.5756
-0.3796
0.1274
0.3295
-0.078
0.1444
0.164
0.4044
-0.491
0.4421
0.0522
0.0867
0.1021
0.2633
FRA
ITA
GER
UK
USA
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
THA
ZAF
1
-0.3812
-0.1265
1
-0.2616
EUROPE
1
-0.0515
0.4945
-0.0789
0.0238
-0.3797
-0.1504
0.3756
-0.5849
0.5294
0.3041
-0.4776
0.2584
-0.2719
-0.6813*
-0.4279
-0.0349
-0.2023
-0.1638
0.3927
0.3781
0.4259
-0.2822
0.7491*
-0.5769
0.6683
0.2767
0.5482
-0.2834
-0.218
-0.1262
-0.5344
0.1481
-0.5605
-0.1207
-0.2512
-0.4733
-0.1792
0.0172
0.3434
EUROPEAN UNION
1
0.4292
0.6451
-0.1859
-0.1308
-0.218
-0.156
-0.1119
0.2927
0.6723
0.4335
0.7518*
0.2036
0.5314
0.322
0.6138
0.4076
0.8497**
0.347
0.6875*
0.2752
0.0406
-0.1031
0.6547
-0.269
-0.9034**
-0.2641
0.4346
0.4275
-0.2467
0.3829
-0.1654
0.5575
-0.2337
0.9387**
0.7012*
0.4072
0.3241
0.1551
1
0.3368
0.3809
-0.281
-0.328
-0.3975
0.0881
0.0593
0.6973*
0.2818
0.4495
0.3176
0.05
0.3941
-0.0504
-0.2297
0.3736
0.095
0.6509
0.5365
-0.3279
0.7918**
0.0854
-0.1864
-0.3056
-0.2164
-0.2958
0.0092
0.2027
0.1429
0.3301
0.4191
-0.7447*
0.1722
-0.116
0.3726
0.1842
-0.0366
1
0.4769
1
0.2634
0.4762
1
0.339
0.2307 -0.1488
0.2084 -0.0795 -0.047
0.3171
0.6509
0.6083
-0.0305 -0.5271 -0.7575**
0.5609
0.2869 -0.2282
0.8107** 0.667
0.5018
0.8875** 0.1892 -0.1132
0.7239* 0.8257** 0.6865*
0.7157* 0.2431
0.2692
0.6785* 0.758**
0.489
0.7783** 0.0515
0.4302
0.4692 -0.2782 -0.3956
0.6508
0.0902
0.3736
-0.0329 -0.6441 -0.8672**
0.6659
0.3342
0.2347
-0.3507 -0.3097 -0.5885
0.1223 -0.3285 -0.4926
0.0672
0.5621
-0.141
0.5167
0.1345
0.5343
-0.1326 -0.2428 -0.0947
-0.8413** -0.0414 0.0087
-0.6391 -0.6184 -0.1814
0.1064 -0.6234 -0.5741
0.5604 -0.0316 -0.4377
-0.6916* -0.1833 -0.3601
0.7362*
0.398
0.1549
0.5911 0.8947** 0.3297
0.5604
0.3839
0.2435
-0.6578 -0.8239** -0.1743
0.5997 -0.2576 0.1232
0.5813 -0.1817 0.4165
-0.2689 -0.4188 -0.2522
0.8347** 0.4421
0.3405
-0.1158 -0.5129 -0.8559**
1
0.6279
0.0772
0.1926
-0.1225
0.1802
0.2858
0.0837
0.3037
0.0547
0.122
0.7217*
-0.4405
0.2322
-0.3713
-0.6034
0.7592**
-0.2176
-0.351
0.1602
-0.1428
-0.4294
0.3967
0.7396*
-0.4816
0.5045
0.4981
-0.125
-0.1121
-0.268
-0.1188
-0.7242*
0.4334
0.375
1
-0.4619
1
0.5045 -0.9124**
-0.1313 -0.186
-0.264 0.7492*
0.3613 -0.1091
-0.1943 0.8124**
-0.2124 0.6445
-0.4331 0.8007**
0.4419
0.0252
0.5104 -0.2309
-0.2988 0.2001
0.38
-0.7502*
-0.0462 -0.0135
-0.4441 -0.5291
0.373
-0.0832
-0.1035 -0.0255
-0.4624 0.4322
0.7772** -0.5141
0.0511 -0.1621
0.2754 -0.6706*
0.2307 -0.4467
0.3169 -0.0621
-0.7825** 0.0475
-0.0973 0.6668
0.2354
0.5533
-0.6596 0.6966*
0.2385 -0.6052
-0.1416 -0.0086
-0.0493 0.2643
-0.8189** 0.0615
0.39
0.4091
0.4366 -0.7996**
G-7
1
0.4823
1
0.9144** 0.3709
1
0.846** 0.4578
0.6394
1
0.9656** 0.3351 0.9178** 0.7302*
1
0.4608
0.74*
0.4413
0.4786
0.2572
0.1483
0.5828 -0.1352 0.4855 -0.0617
0.6169
0.572
0.5273
0.534
0.5512
-0.4816 0.3829 -0.674* -0.1579 -0.5901
0.4589 0.7084* 0.5063
0.1677
0.4424
-0.3796 -0.0615 -0.4683 -0.4651 -0.242
-0.0463 0.2027 -0.2753 0.3852 -0.2002
0.0025
0.1695
0.219
-0.4092 0.1663
0.7195* 0.2766
0.5714
0.6663 0.6748*
-0.5833 0.1124 -0.3516 -0.5327 -0.6751*
-0.6868* -0.8165** -0.4333 -0.806** -0.5397
-0.8796** -0.3482 -0.6958* -0.7961** -0.873**
-0.1148 0.2955 -0.4795 0.2911 -0.2741
0.3401
0.6236
0.0362
0.5783
0.1873
-0.2996 -0.6707* -0.3543 -0.2821 -0.094
0.8264** 0.4977
0.6609 0.9458** 0.7268*
0.585
0.3867 0.7506* 0.2985
0.5955
0.8603** 0.3013 0.6894* 0.827** 0.8789**
-0.7341* -0.4944 -0.8072** -0.4524 -0.7964**
0.4509
0.6191
0.2472
0.5945
0.3085
0.5211
0.4565
0.3931 0.7206* 0.3463
-0.053 -0.2017 -0.1713 0.1165
0.033
0.6134 0.7132* 0.6793* 0.6037
0.4654
-0.4966 0.2598 -0.7142* -0.2794 -0.5711
NAFTA
AMERICAS
1
0.4094
1
0.6904*
0.0116
1
MERCOSUR
0.0253
0.6467 -0.1674
1
0.6165
-0.1198 0.8143** -0.0791
1
-0.434
-0.2886 0.1013
0.3645
0.2455
1
0.0258 0.8615** -0.3644 0.5963 -0.5353 -0.3598
1
-0.2411
-0.4915 -0.0388 -0.0936 0.4769
0.4242 -0.5201
0.5141
-0.0144 0.8806** -0.4168 0.5141 -0.0511 -0.3003
0.2439
0.0715
-0.337
0.3638 -0.0195 -0.2115 0.0884
-0.6793* -0.6055 -0.7614** -0.2294 -0.5524 0.0764 -0.2794
-0.1235
-0.3159 -0.281
0.3049 -0.1321 0.2864
-0.232
0.1396
0.856** -0.0036 0.7355* -0.2541 0.0904 0.7519*
0.2733 0.9353** 0.0357
0.5501 -0.0463 -0.1898 0.8056**
-0.8722** -0.4897 -0.2779 -0.0722 -0.3808 0.6283 -0.1936
0.3748
0.5284
0.3311 -0.1021 0.1008 -0.5217
0.493
0.213
0.0146 -0.0219 -0.371
0.2668 -0.5117 -0.006
0.1906
0.0504
0.655
-0.3446 0.3614 -0.0282 -0.0466
-0.1589
0.0958 -0.3398 0.3115 -0.5372
0.105
0.1671
0.728*
0.3575 0.9012** 0.1755
0.6055
0.0704
0.0052
0.7975** 0.3388 0.7864** -0.0605 0.3891 -0.3536 0.1022
-0.272
-0.2777 0.3627
0.0947
0.075
0.5859 -0.1746
0.7422*
0.3897
0.3737 -0.0641 0.4261 -0.6552 0.2394
-0.1379
0.6299 -0.3447 0.9024** -0.1957 0.3946
0.556
ANDEAN
1
-0.3042
0.1342
0.2189
0.0344
-0.6179
-0.287
0.1443
-0.2299
0.4925
-0.0499
-0.6164
-0.3435
-0.5555
-0.0604
0.0455
-0.0668
1
-0.6356
-0.6666
-0.4818
0.04
0.0352
-0.1086
0.4265
-0.0832
0.7781**
-0.2222
0.7851**
0.7709**
0.3536
0.2006
-0.4807
ASIA
1
0.7696**
1
-0.0926 -0.3452
1
0.2304
0.6685 -0.3096
-0.4685 0.1917 -0.4446
0.0089
0.2692
0.1327
0.4303 -0.1768 0.1352
0.3931
0.298
-0.3277
0.2629
0.2185 -0.4685
0.0766 -0.2284 0.6802*
-0.0942 0.3904 -0.7872**
0.7532* 0.5808 -0.0113
1
0.5236
1
0.7456* 0.2284
1
-0.6023 -0.8176** -0.6208
0.3767
-0.25
0.5445
0.5116
-0.113
0.5166
-0.0461 -0.5754 0.4432
0.6962* 0.7131* 0.3036
-0.2001 -0.3357 -0.4324
ASEAN
1
-0.0772
1
-0.0423 0.8866**
1
0.0476
0.3923
0.2367
-0.6039 0.3461
0.5241
0.3791 -0.0392 -0.3086
38
Figure 2 Band Pass Filter Output, Investment and Consumption Correlations for 1980-89
OUTPUT CORRELATIONS
1980-89
EGY
ISR
MOR
TUR
HUN
POL
ROM
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
GRC
POR
SPA
FRA
ITA
GER
UK
USA
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
PER
VEN
AUS
NZL
CHN
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
THA
ZAF
EGY
ISR
1
0.0606
1
0.0647 -0.4343
0.6501** 0.6618**
0.3875 -0.2344
0.2014 -0.4508
0.3545 -0.1948
-0.2021 0.0343
-0.6768** -0.4307
-0.4827 -0.3097
-0.7541** -0.3885
0.3857 -0.2146
-0.8225** -0.3542
-0.2573 -0.5997*
-0.1039 -0.4694
-0.5264 -0.7331**
-0.4311 0.0596
-0.2622 -0.1621
-0.2105 -0.6009
-0.654** -0.2668
-0.663** -0.224
0.3559 -0.2692
-0.0628 -0.3769
-0.3098 -0.2653
-0.7643** 0.019
-0.6217* -0.0121
0.1118
0.5244
-0.2578 -0.1218
-0.8047** -0.0634
-0.3511 0.4614
-0.7833** 0.0631
-0.3502 0.3094
0.08
0.6425**
0.0939 0.7469**
-0.2661 -0.1731
0.7737** -0.2484
0.277
-0.1086
0.0883 -0.3948
-0.6312* -0.5679*
0.7763** 0.2448
-0.0793
0.428
-0.4597 -0.0718
-0.4214 -0.2969
-0.0975 0.0815
-0.3163 -0.1639
-0.4287 -0.3904
-0.5532* -0.2621
MOR
1
-0.3863
-0.1578
0.1884
0.1167
0.0668
0.1182
0.3298
0.3102
0.6108*
-0.2086
0.1447
0.1311
0.5215
0.1305
0.0041
0.3384
0.2338
0.133
0.225
-0.1674
-0.1333
-0.1745
-0.2308
-0.1221
0.3717
-0.0557
-0.1597
-0.309
0.0156
-0.0329
0.1902
-0.3853
-0.0238
0.144
-0.0277
0.3412
-0.1636
-0.3425
-0.4361
-0.2303
-0.0958
-0.3432
-0.0739
-0.1177
TUR
HUN
POL
ROM
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
GRC
POR
SPA
FRA
ITA
GER
UK
USA
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
PER
VEN
AUS
NZL
1
-0.3274
-0.2271
0.0685
-0.35
-0.2466
0.1956
0.4453
-0.3566
-0.3572
0.0535
-0.2411
-0.3155
-0.0848
1
-0.2276
0.4095
0.345
0.3916
0.0376
0.4411
0.3097
0.0481
-0.1655
0.1906
0.2493
0.4845
1
0.3394
0.0639
-0.4321
0.5421
-0.2446
-0.2115
0.0278
-0.3225
-0.0274
-0.247
-0.2709
VEN
AUS
NZL
CHN
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
THA
1
0.196
0.1283
0.3309
0.3897
0.2326
0.4955
1
0.6292*
1
0.1424
0.3958
1
0.4774 0.9145** 0.6007*
1
0.2477 0.7267** 0.677** 0.8554**
1
0.3567
0.497
0.1892 0.5581* 0.6503**
HGK
INDO
1
-0.4313
1
-0.2034 0.8183**
1
0.3852 -0.5407 -0.4684
1
-0.0691 0.5444
0.5346 -0.5828*
1
-0.5326
0.264
0.2132 -0.5363 0.5945*
-0.5033 0.1268
0.1039
0.0132
0.0256
-0.5512* 0.2232
0.11
0.221
0.1798
-0.371
-0.1291 -0.1878 0.3634
-0.148
-0.2842 0.3089
0.1802
0.3711
0.0266
-0.4982 0.5018 0.5514* -0.1938 0.1833
1
0.3451
0.5052
0.0819
0.077
0.3032
ZAF
EUROPE
1
0.1694
-0.0358
0.2602
0.0624
-0.6664**
-0.7321**
-0.712**
0.1552
-0.774**
-0.5449
-0.1764
-0.8056**
-0.4617
-0.2879
-0.6549**
-0.5426
-0.5118
0.106
-0.0266
-0.1633
-0.3944
-0.3466
0.4386
-0.2268
-0.5489
0.0311
-0.3852
-0.0519
0.5201
0.4816
-0.0956
0.4909
0.4008
-0.2878
-0.7249**
0.7043**
0.3131
-0.3317
-0.3799
-0.2703
-0.2399
-0.5589
-0.402
1
0.471
0.4384
-0.4713
-0.2363
-0.4506
-0.0381
-0.1631
-0.0739
0.6579**
0.4735
-0.174
0.2981
0.6262
0.5149
0.053
-0.6147*
0.6383**
0.2215
0.2869
-0.3357
-0.0449
-0.2012
0.0182
-0.0654
-0.027
-0.0807
0.0649
0.0167
-0.2011
0.3296
0.2915
0.2731
0.4548
0.2129
0.475
0.3626
-0.3836
-0.0442
0.3209
0.2675
0.3968
0.2651
1
0.8601**
0.2775
0.1647
0.0092
0.2952
0.5202
-0.1596
0.6234*
0.8584**
0.355
-0.0612
0.5322
0.2975
0.4689
0.0996
0.8889**
0.7201**
0.6434**
-0.51
0.0905
0.1586
0.3872
-0.216
-0.0555
-0.3971
0.1823
-0.2149
-0.3151
0.6562**
0.1091
0.7271**
0.2919
0.3017
0.3711
0.1734
-0.1659
-0.1862
-0.216
-0.058
0.0593
0.0203
HUN
POL
ROM
1
0.188
0.448
0.4269
0.0688
-0.1849
0.0464
0.2172
0.0493
0.3492
0.2854
0.0041
0.4141
0.6004*
0.4128
0.0304
-0.043
0.1311
-0.2184
0.2096
-0.2514
0.1048
0.2152
0.4127
0.0205
0.3412
-0.197
0.0427
0.1848
-0.1032
-0.0073
0.031
-0.1419
0.2327
0.1926
0.0902
0.2215
0.0444
-0.5103
0.2259
-0.3446
-0.1704
-0.3843
1
0.8048**
0.5691*
-0.0522
-0.3764
0.0402
0.5834*
0.3977
0.2235
0.4251
0.1041
-0.3019
0.0312
-0.1237
-0.1019
-0.116
0.8052**
0.417
-0.2796
-0.7518**
-0.4723
0.0998
-0.1892
-0.6812**
-0.4007
-0.2355
0.0245
-0.4736
-0.2371
0.0937
0.1052
0.4866
-0.2432
-0.0407
0.7248**
-0.6026*
-0.8048**
-0.364
-0.1428
-0.137
0.0384
-0.2661
1
0.3838
0.2906
-0.1189
0.399
0.4441
0.4945
0.7028**
0.7802**
0.136
-0.0612
0.4697
0.4051
0.2332
0.0192
0.9030**
0.3773
0.1398
-0.4633
-0.05
-0.0361
0.0844
-0.3429
-0.086
-0.2477
0.1486
-0.4321
-0.3393
0.3686
0.1852
0.1066
0.1444
0.4343
0.3906
-0.3305
-0.4655
-0.2526
0.0262
-0.1931
0.0632
0.0266
1
-0.142
-0.3757
-0.4001
0.19
-0.1056
0.0018
-0.1994
-0.0535
0.284
0.281
-0.0199
-0.2409
-0.3275
0.2035
-0.0439
-0.0312
-0.6294*
-0.3558
0.3826
-0.0417
-0.4039
0.0823
-0.0747
0.406
0.2142
0.2374
-0.0167
0.089
0.1999
0.0679
-0.0736
0.3345
-0.1692
-0.3806
-0.5931*
0.1729
-0.3907
-0.1006
-0.5222
1
0.8093**
0.7906**
-0.0963
0.6072*
0.4144
0.6044*
-0.1658
0.0601
0.2846
0.6437**
0.9375**
0.7580**
0.2879
0.477
0.7432**
0.4213
0.7584**
0.4197
0.4225
0.7068**
0.3703
0.3371
0.4161
0.0753
-0.2623
0.8304**
-0.3602
-0.1037
0.5267
0.6817**
-0.3
0.392
0.236
0.1502
0.0348
-0.1776
0.281
0.4069
1
0.5997*
-0.1741
0.4672
0.0959
0.316
-0.0244
0.0498
0.1507
0.4574
0.7464**
0.6176*
-0.0739
0.3666
0.7776**
0.6605**
0.8387**
0.3714
0.4209
0.8111**
0.3379
0.6344**
0.1767
0.1871
0.0319
0.7334**
-0.3265
-0.0248
0.5054
0.5313
-0.5756*
0.4467
0.3776
0.0957
-0.2425
-0.3341
0.0606
0.323
1
0.166
0.6893**
0.4967
0.7337**
0.0086
0.047
0.3445
0.7010**
0.8369**
0.7018**
0.487
0.2674
0.4219
0.3362
0.5162
0.2445
0.4834
0.4721
0.3451
0.0334
0.3031
-0.047
-0.268
0.5499*
-0.5072
0.117
0.1976
0.6386**
-0.1337
0.3422
0.2304
0.171
-0.032
-0.0869
0.1337
0.3957
1
0.6979**
-0.1729
0.2822
0.2931
-0.4423
-0.0726
-0.1408
-0.1691
0.0193
0.3175
0.329
-0.3191
-0.3896
-0.2701
0.0891
0.4774
-0.3689
-0.3744
0.1061
-0.3405
-0.2299
0.0156
-0.1994
-0.2982
0.5955*
-0.5942*
-0.2661
0.3051
-0.4299
-0.523
-0.6844**
-0.6178*
-0.5388
-0.6593**
-0.6821**
1
0.1228
0.6659**
0.1871
-0.4597
-0.0022
0.2266
0.4952
0.594*
0.4465
0.6734**
0.2039
0.0114
0.2969
0.2527
0.5571*
0.1763
-0.1948
0.3209
-0.109
-0.289
-0.2756
0.4124
-0.4457
0.3828
-0.1717
0.1952
0.0611
-0.1807
-0.2673
-0.2939
-0.513
-0.4334
-0.2549
-0.1536
1
0.7011**
0.2001
0.3188
0.7158**
0.7279**
0.3819
0.1044
0.6389**
0.0089
0.3983
-0.0717
0.2373
-0.2896
-0.0228
0.0136
0.2377
-0.4084
0.3095
-0.3173
-0.4022
0.4179
0.3165
-0.4684
0.5041
0.7002**
0.0037
0.0162
0.1845
0.2694
0.4803
0.1299
0.3578
0.5587*
1
0.0395
-0.2339
0.3097
0.4944
0.5868*
0.3843
0.7635**
0.5543*
0.3795
0.0338
0.3937
-0.0818
0.2123
0.1191
-0.0485
-0.0271
-0.059
-0.4896
-0.5326
0.6017*
0.0738
-0.0287
0.2799
0.5944*
0.1104
-0.0971
-0.2265
0.0699
-0.1133
-0.0395
0.193
0.3587
HUN
POL
ROM
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
1
0.0548
-0.1339
-0.3636
-0.1902
-0.1049
-0.1203
-0.1183
-0.1619
0.5035
0.4748
0.0887
0.1334
0.3605
0.4375
-0.08
-0.374
0.441
0.1951
0.5033
-0.3114
0.0245
-0.2835
-0.6362**
-0.3973
0.1774
-0.102
-0.0413
0.184
-0.3399
-0.2683
0.5018
0.1173
-0.0658
0.0655
0.458
0.1007
-0.0676
-0.279
0.2319
0.3387
0.164
0.1145
1
0.8520**
0.4239
0.6196*
0.0386
-0.1725
0.0932
0.6572**
0.5474
0.4371
-0.0236
-0.1802
0.4522
-0.1843
0.59*
0.7153**
0.5322
0.7846**
0.1657
0.1529
0.5218
0.3301
0.2667
0.2407
0.3158
0.3548
0.0435
0.1013
-0.1528
-0.2869
-0.4341
0.6570**
0.1125
0.1336
-0.2305
0.3923
-0.4685
0.0289
-0.1611
0.0549
0.3862
-0.0114
1
0.6609**
0.7260**
-0.038
-0.1075
0.1075
0.8952**
0.4832
0.3051
0.0069
-0.3648
0.2838
-0.3323
0.6066*
0.8370**
0.2389
0.6229*
-0.1138
0.3409
0.382
0.3031
0.5295
0.5186
0.229
0.36
0.1227
0.1012
-0.1861
-0.0536
-0.2926
0.544
-0.1969
0.2129
-0.5083
0.1907
-0.4486
0.2202
-0.2269
-0.2353
0.1887
-0.14
1
0.1488
1
-0.2134
0.538
1
-0.087
0.0384
0.2662
0.1388
0.2336 0.7248**
0.5003
0.6*
-0.0037
-0.3195 -0.1445 0.5659*
0.3651 -0.2087 0.3838
0.7325** 0.3755
0.3999
0.0035
0.3775 0.8574**
-0.1744 -0.4252 0.1684
0.4728 -0.2473 0.1188
0.1954 -0.5729* 0.1412
0.237
0.4105 0.7535**
-0.0423 0.7107** 0.7984**
0.8523** -0.079
-0.2014
0.5198
0.526
0.5385
0.3697
0.4251 0.6595**
-0.6787** 0.2017 0.6685**
-0.1434 0.4212 0.8231**
0.4996
0.3449 -0.2557
0.1516 0.6392** 0.5767*
-0.4554 0.0922 0.7546**
-0.1547 0.3853
0.4282
-0.518
-0.0312 0.5815
0.1299
0.3903
0.4141
-0.1258 0.3207 -0.0393
-0.0593 0.0246 -0.3286
0.4282
0.3393
0.5268
0.2694 -0.1338 -0.4714
0.7779** 0.3428 -0.1119
0.1276 -0.6004* -0.0065
0.0372 -0.0897 0.6061*
0.6412** -0.3271 -0.7743**
0.3761
-0.003
-0.0222
-0.1514 0.2163
0.4428
-0.0149 -0.3485 0.0856
-0.0869 -0.7785** -0.2818
0.1349 -0.5405 -0.0631
0.0337 -0.6327** 0.1505
-0.0898 -0.0661 0.5992*
EUROPEAN UNION
1
0.4444
0.0845
0.5326
0.1883
0.0123
0.432
0.3011
0.1811
0.365
0.2987
0.4712
-0.0478
-0.245
-0.222
-0.0168
-0.0161
0.0428
0.1236
0.0696
-0.1234
-0.0605
0.0028
-0.5339
-0.3147
-0.1438
-0.5239
-0.3784
-0.0156
0.2511
-0.4462
-0.3593
0.3438
0.2552
0.3063
0.0938
0.2287
-0.1808
1
-0.0326
0.6501**
0.626*
0.5927*
0.7612**
0.5216
0.5948*
0.5569*
0.9269**
0.6706**
0.12
0.3312
0.5411
0.4397
0.6631**
0.0445
0.5528*
0.7068**
0.3869
0.534
0.5735*
-0.068
-0.0957
0.4253
-0.629*
0.0152
0.0366
0.8065**
-0.5612*
0.3049
0.3122
0.3427
0.1489
0.3186
0.5148
0.681*
AUT
BEL
1
-0.5928*
1
-0.1068 0.4685
0.3813
0.1322
0.2409
0.4672
-0.4309 0.4556
-0.17
0.3694
-0.2511 0.5121
0.0981
0.467
0.1857
0.4551
0.4096
-0.292
0.2241
0.0456
0.0336
0.1992
-0.4818 0.6064*
-0.2783 0.4975
0.2816 -0.2927
0.5018
0.0087
-0.4943 0.6738**
-0.1126 0.0893
-0.6991** 0.7045**
0.0468
0.1058
0.1293 -0.4274
0.0817 -0.4989
-0.0921 0.2602
0.2693 -0.5269
0.5641* -0.4758
-0.3925 0.1888
-0.169 0.6057*
0.1559 -0.6622**
-0.263
0.0121
-0.3733 0.6027*
-0.5397 0.6797**
-0.606* 0.3955
-0.6638** 0.6063*
-0.6484** 0.7132**
-0.5021
0.598
1
0.7186**
0.5151
0.5792*
0.8514**
0.8269**
0.6555**
0.0175
0.6144*
0.3899
0.5711*
-0.0187
0.335
-0.3102
0.3573
0.3747
0.089
0.2013
0.2717
-0.2888
-0.4444
0.5575*
-0.2672
0.1637
0.5173
0.7723**
-0.0938
0.1942
-0.0841
0.1457
0.324
0.3259
0.6614**
0.508
1
0.4774
0.0956
0.6576**
0.3699
0.7118**
0.3021
0.6773**
0.7165**
0.7134**
-0.1452
0.381
0.1837
0.6103*
0.1295
0.1966
-0.0368
0.4445
-0.0195
-0.3049
0.678**
-0.0474
0.5822*
0.0301
0.4713
0.0396
0.3667
0.0037
0.0019
-0.1747
0.0933
0.1806
0.3598
1
0.1427
0.1715
0.4091
0.713**
0.6966**
0.0628
0.468
0.5362
0.3856
0.4936
-0.3475
0.5065
0.5224
0.0637
0.2939
0.1753
-0.3046
-0.395
0.349
-0.3069
0.0652
0.1655
0.7539**
-0.6319*
-0.2444
0.2102
0.1333
-0.2427
-0.0397
0.2576
0.4601
1
0.7323**
0.662**
0.5059
-0.0923
0.1375
-0.3124
0.078
0.1992
0.3412
-0.1093
0.2903
0.5749*
0.4886
0.4243
0.5426
0.1393
0.1959
0.0688
-0.7307**
-0.405
0.2491
0.5211
-0.2678
0.3509
-0.1067
0.0191
0.7273**
0.2388
0.5658*
0.3935
1
0.7219**
0.6471**
-0.066
0.6441**
0.1877
0.4268
-0.1365
0.3054
0.1179
0.35
0.3042
0.3118
0.1733
0.5245
-0.0328
-0.0765
0.4869
-0.4534
0.1545
0.3131
0.5643*
0.0896
0.5419
-0.0882
0.1208
0.5334
0.401
0.6078*
0.4061
1
0.4019
-0.0989
0.4138
-0.0242
0.1376
-0.0715
0.067
-0.3135
0.032
0.2799
-0.1464
0.1625
0.055
-0.4517
-0.3181
0.1191
-0.2083
-0.1296
0.5929*
0.7045**
-0.0725
0.0939
-0.0428
0.4085
0.6578**
0.5423
0.8404**
0.4485
FIN
SWE
GRC
POR
SPA
FRA
ITA
1
-0.0011
0.2339
0.0033
-0.3951
0.1117
0.0276
-0.2096
-0.2595
-0.4394
-0.3284
-0.2989
-0.0239
-0.3694
-0.3686
-0.335
-0.3002
-0.4752
-0.2795
-0.3651
-0.01
-0.091
-0.3836
-0.3052
0.2032
-0.5115
0.2298
-0.0768
0.0918
-0.1497
-0.1919
-0.1803
1
0.7765**
0.6379**
0.1288
-0.1033
-0.124
-0.7556**
0.3318
0.0667
0.1207
0.3218
0.1585
0.2242
0.8467**
-0.2546
0.6770**
0.6471**
0.3851
0.0121
-0.1402
-0.1924
0.4716
0.4058
-0.2507
0.6591**
0.6227*
-0.0855
0.6015*
-0.1643
0.0783
0.055
1
0.8669**
0.2611
-0.051
0.296
-0.3931
0.5057
-0.0233
0.2649
0.1069
0.3694
0.1466
0.6618**
-0.2043
0.5148
0.279
0.1634
0.2547
0.0251
-0.2376
0.5293
0.6555**
-0.2427
0.3843
0.4155
-0.2482
0.3919
-0.3944
-0.0877
0.0717
1
0.6713**
0.2874
0.3208
-0.1671
0.6824**
0.3215
0.5723*
0.1962
0.5178
0.4975
0.7599**
-0.0401
0.6081*
0.3223
0.0673
0.5167
-0.1983
-0.2438
0.6114*
0.8575**
-0.4099
0.5911*
0.5091
-0.0112
0.3165
-0.2805
0.0388
0.3379
1
0.6714**
0.3218
0.3838
0.7088**
0.5417
0.7600**
0.4487
0.3993
0.7347**
0.5191
0.3057
0.492
0.2089
-0.1388
0.8241**
-0.3958
-0.0012
0.5561*
0.7676**
-0.317
0.5719*
0.2183
0.2184
0.025
-0.0722
0.3215
0.495
GRC
POR
SPA
FRA
ITA
1
0.7081**
0.7009**
0.3687
-0.2584
0.2235
-0.5509*
-0.2432
0.1621
0.208
0.3698
-0.5383
-0.0608
0.4293
0.1337
0.338
-0.1718
0.5276
0.0727
-0.3188
-0.352
0.2907
0.3825
-0.2061
0.4398
-0.1813
0.1444
0.9189**
0.6636**
0.3392
0.4407
1
0.6615**
0.7075**
0.2376
0.61*
0.0083
-0.1952
0.1309
0.3517
0.5123
-0.3303
0.081
0.6153*
0.3369
0.361
0.0258
0.2511
-0.0706
-0.3005
0.0594
0.2136
0.5815*
-0.2949
0.6169*
-0.5829*
0.0321
0.7441**
0.4772
0.5206
0.2224
1
0.2437
-0.2646
0.5107
-0.3362
-0.2445
-0.2612
-0.1758
0.3418
-0.414
-0.2446
0.2958
-0.0405
0.0898
-0.0173
0.2089
0.0711
0.1608
-0.3232
0.235
0.5943*
0.145
0.3745
-0.4888
-0.1787
0.714**
0.4426
0.3325
0.1596
G-7
1
0.6285*
1
0.278
-0.2894
1
0.4864
0.4368
0.3885
0.7219** 0.4157
0.3883
0.3569
0.4891 -0.6983**
0.7486** 0.6412** -0.1919
0.1015
0.2276
0.143
0.7422** 0.4389
0.2162
0.6758** 0.4654 -0.3525
0.5721* 0.3152 -0.1372
0.4466
0.3623 -0.5058
0.7318** 0.372
0.1068
0.1185 -0.0908 -0.1549
-0.034
-0.1588 -0.1048
0.6131* 0.3483
0.4225
-0.6676** -0.4416 0.1128
0.1752
-0.046 0.6894**
-0.0039 -0.2937 0.3883
0.7331** 0.3035
0.2404
-0.4673 -0.6459** 0.5974*
0.3813
0.0261
0.2077
0.1776 0.6613** -0.4631
0.0318
0.2452 -0.2513
-0.0113 -0.3251 0.0521
0.0747 -0.0007 -0.0086
0.3095
-0.033
0.1451
0.593*
0.3344 -0.1244
NAFTA
AMERICAS
1
0.8971**
1
0.0429
0.2487
1
0.5275 0.7231** 0.66**
1
MERCOSUR
0.0547
-0.0459
-0.3475
0.061
1
0.2933
0.4467
0.1804
0.5154
0.144
1
0.1547
0.4828 0.8676** 0.8301** -0.2895 0.3776
1
0.1202
0.3855
0.4081 0.7621** 0.3434 0.6592** 0.6038*
0.0902
0.3634 0.9165** 0.7298** -0.2704 0.0822 0.9283**
0.197
0.4438
0.2426 0.7178** 0.4796 0.7528** 0.5321
-0.1227
0.0465
0.2182
0.2717
0.3357
0.4975
0.2175
-0.382
-0.2079
0.0009 -0.0264 0.4781
0.1164
0.0381
0.8767** 0.9342** 0.1114 0.6693**
0.07
0.2894
0.3498
0.1259
-0.2224
-0.4305 -0.5669* -0.1174 -0.4282 -0.6655**
0.5905*
0.4873
-0.3945 -0.1516 0.2098
0.1683 -0.3358
0.2265
0.2908
-0.1885 -0.0237 -0.4645
-0.444
0.0567
0.2967
0.5531*
0.4221
0.4286 -0.4633 0.3099 0.6749**
0.0682
-0.0965
-0.82** -0.5401 0.3583 -0.4313 -0.7367**
0.2512
0.3881
0.0337
0.5004 0.6135*
0.182
0.2825
0.2739
0.1589
0.3796
0.5236
0.2565 -0.1516 0.3028
0.0308
-0.0365
0.2866
0.0974 -0.0209 -0.5024 0.2214
-0.4875
-0.3151
-0.123
-0.0378 0.0545 -0.3038 0.1364
0.0461
0.0655
0.1433
0.1202
0.0371 -0.5088
0.225
0.034
0.2044
0.2055
0.2097 -0.3009 -0.2885 0.4434
0.4002
0.5994* 0.6629** 0.7487** -0.204
0.1721 0.8238**
1
ANDEAN
0.4625
1
0.935** 0.3449
1
0.7357** 0.1666 0.6429**
1
0.4579
0.0242
0.4326 0.7509**
0.3405
0.2867
0.3912 -0.0863
-0.64** -0.5165 -0.6422** -0.1633
-0.1935
-0.366
-0.0239 0.0625
-0.3513
0.05
-0.3287 -0.5981*
0.0627
0.5343
0.1932 -0.2517
-0.3319 -0.6387** -0.247
-0.0331
0.6297* 0.3137 0.7141** 0.4856
0.1443
0.4095
0.1144 -0.3267
-0.3488 0.4318 -0.2629 -0.5591*
0.0589
0.1655
0.1218
-0.207
-0.2228 0.4272 -0.1185 -0.4521
-0.1511 0.4972 -0.0394
-0.501
0.3729 0.831** 0.3968
0.0682
ASIA
1
0.0412
1
0.1236
0.4178
1
0.5083
0.3018 -0.4513
1
0.1446 -0.0443 0.0205
0.2729
-0.4129 -0.0315 -0.0368 -0.3568
-0.2181 0.2506
0.3001 -0.1496
-0.5551* 0.3946
0.1204
0.1098
-0.1384 0.4255
0.3283
0.0881
-0.1947 0.6574** 0.6809** -0.0957
-0.0821 0.2602 0.6817** -0.3959
ASEAN
INVESTMENT CORRELATIONS
1980-89
EGY
ISR
MOR
TUR
HUN
POL
ROM
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
GRC
POR
SPA
FRA
ITA
GER
UK
USA
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
PER
VEN
AUS
NZL
CHN
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
THA
ZAF
EGY
ISR
MOR
TUR
1
0.1628
1
0.2935 -0.2959
1
-0.3806 0.2343 -0.0875
1
-0.6321** -0.021
-0.1696 0.5169
0.2135 -0.1534 -0.4646 0.0757
-0.059
-0.5179 -0.1436 -0.0431
-0.2044 0.1874 -0.4712 0.5042
-0.6032* -0.5426 -0.2041 -0.3696
-0.4886 -0.3613 -0.0099 -0.1789
-0.3573 -0.5269 0.0765 -0.3945
-0.0792 -0.2759 -0.2096 0.4632
-0.3352 -0.6053* -0.2861 -0.0317
-0.051
-0.481
0.3156 -0.3836
-0.1729 -0.6951** -0.0298 -0.3427
0.2079
0.0976
0.1615
0.1141
-0.3718 0.3427
0.2519
0.2546
-0.4171 -0.1868 0.3406
0.2432
-0.538
-0.4248 0.3403 -0.0701
-0.5397
-0.49
-0.1088 -0.4168
-0.456
-0.1192 -0.4074 -0.4205
0.1859 -0.4145 -0.1359 -0.2969
-0.03 -0.6418** -0.3895 -0.2649
-0.611* -0.5012 0.1223 -0.0114
-0.2968 -0.3597 0.4483 -0.1931
-0.6182* -0.5518* 0.169
-0.1171
-0.6343** 0.3043 -0.6530** 0.3065
-0.7564** -0.4296 0.1196
0.4723
-0.6773** -0.2965 0.1072 -0.1278
-0.5887* 0.0395
0.2439
0.1677
-0.3649 -0.3676 -0.0648 0.2923
-0.2965 0.0217 -0.0255 -0.1269
-0.5536* 0.237
0.0928
0.4588
-0.0899 0.1155
0.3308 0.5907*
-0.3755 -0.5777* -0.1401 -0.2986
0.4542 -0.1913 0.3141 -0.0854
0.0545
0.2221 -0.4148 0.3433
-0.393
-0.3107 0.1688 -0.1182
-0.3535 -0.5887* 0.3193 -0.2395
0.3687
0.4024 -0.5852* -0.1192
-0.6151* 0.0717
0.1887
0.0887
-0.3355 0.1555
0.4514 -0.1167
0.4243
0.0216
0.234 -0.9189**
-0.0144 0.3548
0.0252 -0.3661
0.5405
0.248
0.0457 -0.7783**
0.1955
0.215
-0.2927 -0.7592**
0.2741 -0.2846 0.3563 -0.8800**
NOR
SWISS
DEN
NLD
GER
UK
USA
CAN
1
0.0728
0.278
0.227
0.1767
0.3784
0.4416
0.2822
0.5088
0.0809
0.0261
0.1418
-0.1022
-0.5396
0.3488
-0.6658**
0.0323
-0.0223
0.1356
0.0653
0.2028
0.3222
0.2844
0.1266
0.0909
0.3503
0.2313
1
0.3998
0.0456
-0.3949
-0.1133
-0.0027
-0.1337
-0.3705
-0.1027
-0.2878
0.2199
-0.477
-0.3347
0.4202
0.1103
0.2796
0.1009
0.4528
0.4849
-0.3037
-0.5172
-0.0095
0.0147
0.0299
0.2766
0.2496
1
0.2681
0.0979
0.332
0.023
0.0499
0.1147
-0.4681
0.5294
-0.2499
-0.4504
-0.3076
0.6108*
0.1185
0.1742
0.0875
0.1606
0.0421
-0.3706
-0.6112*
-0.0389
-0.5636*
-0.1307
0.0538
0.1078
1
0.6175*
0.9133**
0.2621
0.4198
0.7647**
0.5778*
0.5781*
0.3625
0.3432
0.1743
0.8483**
0.0713
-0.294
0.8926**
0.8194**
-0.6868**
0.5631*
0.3093
-0.0544
-0.0491
-0.4137
0.0495
0.3391
GER
UK
USA
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
PER
CHN
IND
JAP
KOR
MYS
PHL
SGP
THA
ZAF
EUROPE
EUROPEAN UNION
G-7
NAFTA
AMERICAS
1
0.8229**
1
MERCOSUR
-0.002
0.1876
1
0.3913
0.5211
0.3465
1
0.8632** 0.9139** 0.3377
0.5411
1
0.4597
0.4889
0.4806
0.4531 0.5904*
0.605* 0.6443** 0.2819
0.4439 0.5654*
0.06
0.1451
0.5034
0.1073
0.2452
0.4386
0.3106 0.5642* 0.4824
0.5131
0.3113
0.0806
0.2402
0.3223
0.1327
0.436 0.7624** 0.3101
0.1763 0.5617*
-0.0913 -0.0573 -0.6988** -0.5259 -0.3274
-0.2547
-0.303 0.5642* 0.1447
-0.273
0.4912 0.7325** 0.1278
0.066
0.5733*
0.4809 0.7062** 0.1161
0.305
0.5218
-0.8616** -0.7629** 0.0877
-0.514 -0.7562**
0.6747** 0.6122* 0.4915
0.4659 0.7694**
0.4641
0.3716
0.0041
0.2627 0.5768*
0.2693
0.0725 -0.3972 -0.5632* 0.1577
-0.25
-0.1878 -0.0417 -0.3795 -0.0531
-0.057
-0.2907 -0.4089 -0.7198** -0.1812
-0.0867 -0.0011
0.045 -0.6727** 0.0314
0.4246
0.3728 -0.3363 -0.3955 0.3132
ANDEAN
1
0.0928
0.7297**
0.8194**
0.4831
0.3156
-0.33
-0.0713
0.5992*
0.6469**
-0.5014
0.9244**
0.5717*
-0.0921
0.3184
-0.2597
-0.0008
0.1453
1
-0.1058
0.3407
0.4757
0.5166
-0.0515
0.1983
0.3262
0.2063
-0.6374**
0.2461
-0.1302
-0.3622
-0.7349**
-0.597*
-0.421
-0.1687
URY
BOL
1
0.5592*
1
0.3132 0.7611**
1
0.3638
0.0423 -0.0513
1
-0.3294 -0.4048 -0.0905 0.0513
1
0.035
0.1226
0.3272 -0.0372 -0.5159
0.4357
0.3114
0.1455 0.7641** 0.3464
0.5487
0.2253
0.1136 0.8028** 0.0789
-0.1208 -0.5321 -0.5187 -0.3368 -0.0538
0.5324 0.8296** 0.4267
0.3095 -0.3977
0.2874
0.4095
0.0587 -0.0765 -0.2762
0.0494 -0.3292 -0.4965 0.0801
0.1641
0.4891
0.0404 -0.3489
-0.141
0.0646
-0.0812 -0.3966 -0.5586* -0.2206 0.2239
0.2719 -0.2985 -0.5936* 0.3008
0.1393
0.2385 -0.2476 -0.3564 0.4716
0.273
ASIA
ASEAN
1
0.4995
1
0.8786** 0.5427
1
0.7573** 0.6434** 0.7520**
1
0.8743** 0.4044 0.6332** 0.7127**
CONSUMPTION CORRELATIONS
1980-89
EGY
ISR
MOR
TUR
HUN
POL
ROM
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
GRC
POR
SPA
FRA
ITA
GER
UK
USA
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
PER
VEN
AUS
NZL
CHN
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
THA
ZAF
EGY
ISR
1
-0.134
-0.1805
-0.2344
-0.5308
0.4856
0.7443**
0.6287*
0.7732**
0.0892
-0.0451
-0.0298
0.7997**
-0.1001
-0.2175
0.0129
-0.3199
-0.0254
-0.4847
0.548
0.8468**
-0.3387
0.171
-0.4214
0.7196**
0.4616
0.3081
0.6711**
0.6455**
0.0919
0.349
0.2382
-0.166
-0.1931
0.204
-0.4554
0.068
-0.2576
-0.0226
-0.7105**
-0.115
-0.0113
0.5213
-0.3361
-0.3289
0.0164
0.0076
1
0.0874
0.6367**
0.2327
0.0979
0.1239
-0.4607
-0.0285
0.3963
-0.1615
-0.359
0.0226
0.4355
0.1217
0.6243*
0.2189
0.3977
0.4775
0.0379
0.0317
0.5145
0.0911
-0.3377
-0.3728
-0.2892
0.6967**
0.2888
-0.0455
-0.1563
-0.5186
-0.1336
-0.2577
0.0624
-0.595*
-0.1493
0.1228
0.2244
0.6302*
0.0828
0.634**
-0.701**
0.2777
0.4703
0.2166
0.7804**
0.4554
MOR
TUR
1
-0.4218
1
-0.0695
0.361
-0.199
0.091
-0.255
0.0803
0.0702
-0.411
0.134
-0.1597
-0.2024 0.3098
0.3803 -0.4262
0.5845* -0.4511
-0.2077 0.0485
0.0269
0.1266
0.1852
0.2971
-0.0579 0.0422
-0.0528 0.2074
-0.1143 0.3582
0.4758
0.1794
-0.0128 0.0307
-0.0641 0.0407
0.2106
0.2085
-0.0475 -0.0333
-0.1228 -0.1178
-0.3018 -0.2358
-0.3039 0.0291
0.098
0.414
0.1744 -0.0284
-0.1133 0.1717
-0.0833 0.2874
-0.0812
-0.076
-0.2698 0.4237
0.0635
0.3068
-0.0181 0.3616
0.294 -0.5617*
0.3129 -0.0092
-0.2175
-0.033
0.0547 -0.1389
0.1685
0.0607
0.2829 -0.0839
-0.0779 0.7452**
-0.2844
-0.22
-0.3051 -0.0718
-0.1434
0.437
0.0268
0.2073
-0.1101 0.4404
-0.1561
0.364
MEX
CHL
ARG
BRA
PAR
COL
PER
VEN
AUS
NZL
CHN
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
THA
ZAF
EUROPE
1
0.651**
-0.2829
0.2042
0.6687**
0.759**
0.1256
0.2097
-0.4811
-0.5767*
-0.1597
-0.4356
0.3496
0.6526**
-0.1694
0.3268
-0.1231
0.2989
0.1139
-0.1867
0.4124
0.4372
0.1829
0.5632*
0.1302
0.3631
-0.181
0.525
0.1267
0.1939
-0.3631
-0.0816
-0.3992
-0.3533
-0.0428
-0.2035
-0.5731*
-0.6329**
-0.5089
-0.7142**
EUROPEAN UNION
1
0.1295
0.2527
0.2596
0.8441**
0.1978
0.275
-0.0922
-0.1058
0.3836
0.0206
0.774**
0.9004**
0.0353
0.1977
-0.4536
0.5079
0.4551
0.4179
0.415
0.5103
0.4393
0.5722*
0.3885
0.1028
-0.1667
0.2784
-0.2636
-0.0487
-0.1693
0.1743
-0.5786*
0.1048
-0.274
0.0974
-0.1574
-0.2398
0.0933
-0.1705
1
-0.2327
-0.2362
0.1476
-0.096
-0.4213
0.299
0.1496
0.1632
0.0942
-0.1584
0.1861
0.009
-0.1015
-0.5202
-0.2079
-0.2084
0.5608*
0.1886
-0.3323
-0.2604
-0.3634
0.028
-0.4374
-0.1678
-0.5638*
-0.5141
-0.2296
0.6131*
0.2174
0.1342
0.2842
-0.049
0.1571
0.1012
-0.2884
0.6396**
0.1372
1
0.2631
-0.045
0.2087
0.2994
0.1638
0.5296
0.4358
0.5841*
0.4285
-0.0554
0.1207
-0.4269
-0.3527
0.1962
-0.0971
0.0181
-0.2944
0.0335
0.3194
0.3645
0.1246
-0.0103
0.2451
0.7293**
0.0896
-0.28
0.0681
0.5306
-0.2768
-0.1591
-0.2851
-0.0885
0.4595
0.0701
-0.242
-0.3323
1
0.2332
0.146
0.3146
-0.5713*
-0.5115
-0.2728
-0.0337
-0.0945
0.1688
0.1107
0.2836
0.065
-0.3617
-0.3464
-0.2995
0.1505
-0.1107
-0.0094
0.2492
-0.1806
0.4489
-0.167
0.3912
0.4557
0.0725
-0.0477
-0.0635
0.2593
-0.3202
-0.1029
-0.7055**
-0.5727*
-0.5616*
-0.5002
-0.8437**
1
0.2895
0.1883
-0.1382
-0.4216
0.1861
-0.3104
0.5371
0.8874**
-0.0307
0.3819
-0.3551
0.3794
0.2735
0.2608
0.5324
0.5082
0.2392
0.4215
0.2942
0.1586
-0.2838
0.0963
-0.1569
0.1944
-0.274
0.1284
-0.5342
0.0283
-0.239
0.1141
-0.3228
-0.518
0.0399
-0.3209
1
0.571*
0.4005
0.0231
0.5686*
0.3662
0.2584
0.0814
0.839**
0.5965*
0.2038
-0.3169
-0.1411
0.0995
-0.1056
-0.2331
0.0292
-0.0909
-0.3508
-0.0512
-0.297
-0.208
0.0951
0.6593**
0.2303
0.6974**
0.1816
0.2004
-0.777**
-0.0585
0.2242
0.0823
0.3832
-0.1801
1
-0.2859
0.1853
0.6075*
0.4587
0.5298
0.1869
0.6029*
0.2706
0.2205
-0.1325
0.2446
0.0503
-0.2923
0.2256
0.7291**
0.559*
0.3374
0.6985**
0.3034
0.1628
0.3347
0.204
-0.2754
0.1808
-0.106
0.4641
-0.4918
-0.558*
0.2792
0.3096
-0.0532
-0.1984
1
0.4152
0.3614
0.3748
0.0455
-0.1902
0.3406
-0.0408
-0.2383
0.0046
-0.1909
0.4105
0.0488
-0.2664
-0.409
-0.5997*
-0.4323
-0.8298**
-0.2105
-0.3211
-0.3891
0.191
0.4705
0.7502**
0.0371
0.1062
-0.4799
0.731**
0.531
0.3053
0.6861**
0.4994
G-7
1
0.6858**
1
0.2019 -0.0172
1
0.0354
0.3233
0.581*
-0.2988 -0.4263 0.2751
0.6433** 0.4617 -0.5172
0.7018** 0.482
-0.0853
0.4619
0.5152
0.305
0.0929 0.6344** -0.1517
0.6552** 0.6462** -0.3458
0.7589** 0.3783
0.0843
0.7225** 0.5208
-0.148
0.5654* 0.4138 -0.3549
0.189
0.17
-0.0214
0.2834 -0.0112
-0.019
0.3348
0.0573
-0.422
-0.3449 -0.4202 -0.0963
-0.0002 0.1007 0.6072*
-0.2458 -0.1959 0.4739
0.2541
0.0224 0.5859*
-0.7611** -0.6379** 0.356
0.3949
0.2758
0.5191
-0.3838 -0.2575 -0.8114**
0.1836
0.1351 -0.2092
0.3447 -0.2618 0.3189
0.318
-0.2871 0.3684
0.1429
0.1543 0.5717*
0.1531 -0.0914 0.0434
NAFTA
AMERICAS
1
0.5289
1
-0.2782
-0.2435
1
0.1118
0.1759 0.7362**
1
MERCOSUR
-0.0346 -0.6585** 0.0526
0.1279
1
0.2655
-0.467
0.1039 -0.0898 0.4888
1
-0.1359
-0.3513 0.6854** 0.5499* 0.2889
0.4619
1
-0.1694
-0.0638
0.418 0.6635** 0.1638 -0.3105 0.558*
-0.0863
-0.0525 0.5656* 0.657** -0.0561 -0.1527 0.6188*
-0.4678
-0.3772
0.5228 0.5506* 0.2355 -0.1142 0.661**
0.0296
0.192
-0.0765
0.187
-0.2311 -0.1525 0.4061
-0.4384
-0.2356
0.0818
0.1669
0.3331 -0.0655 0.4507
-0.4592
-0.1986
0.4926
0.0981 -0.3701 -0.1352 0.3891
-0.1047
0.3015
-0.3207 -0.3873 -0.6463** -0.3111
-0.114
0.8846** 0.5561* -0.2427 0.0253 -0.0871
0.153
-0.1543
0.1827
-0.0322
-0.46
-0.3149 0.3018 -0.1036 -0.7294**
0.0302
-0.4183
-0.1953 -0.3838 0.4717
0.0784 -0.1793
0.2938
0.5279 -0.8266** -0.5589*
-0.36
-0.3175 -0.8911**
0.1027
-0.1818
-0.1678 0.2601 0.756**
0.09
0.2414
-0.3879
0.2198
0.3101
0.1959 -0.5924* -0.279
-0.0298
-0.102
-0.285
0.5468
0.2156
0.3268
0.3503
0.2336
-0.4781
-0.2784
0.0664
0.063
0.4145 -0.4371 0.0192
-0.0842
0.3353
0.1497
0.4937
0.1848 -0.4321
0.053
0.2645
-0.1997
-0.2087 0.0382 0.7535** 0.1752 -0.2295
-0.144
0.0084
0.2642
0.4295
0.4487
0.0149
0.1537
1
0.8789**
0.839**
0.6681**
0.535
0.3611
0.0209
-0.2496
-0.4297
-0.1342
-0.5616*
0.4638
-0.0517
-0.3227
0.3768
0.3754
-0.1545
0.0336
ANDEAN
1
0.7505**
0.6582**
0.3807
0.601*
0.019
-0.1864
-0.4874
-0.284
-0.638**
0.1084
0.1281
-0.3277
0.0183
0.0547
-0.453
-0.2715
1
0.5722*
1
0.5422
0.4236
0.3163
0.2992
-0.0364 0.5268
-0.5682* -0.1218
-0.5246 -0.612*
-0.2883 -0.4281
-0.6898** -0.1555
0.3799
0.2268
0.2338
0.095
-0.152 -0.7559**
0.3029
-0.128
0.1102 -0.0526
-0.1889
-0.529
0.092
-0.3846
1
0.1826
1
-0.1753 0.3627
1
-0.2657 -0.4066 -0.1775
-0.1592 -0.4956 -0.5387
-0.0398 -0.0595 -0.1747
-0.4288 -0.4561 0.3374
0.5802* -0.5039 -0.3954
-0.1178 0.2217
0.1808
-0.1746 -0.1352 -0.5405
0.529
-0.0181 -0.1939
0.3942 -0.1497 -0.1949
-0.0832 -0.7745** -0.6152*
0.1858 -0.4493 -0.4389
ASIA
1
0.2407
0.2127
0.2197
0.0786
-0.4628
0.0877
-0.2185
0.0558
0.2596
-0.0721
1
0.4227
1
0.4982 -0.0428
1
0.1479
0.2194 -0.1835
1
ASEAN
-0.2916 -0.8249** 0.0434 -0.5336
1
0.0532
0.2764 -0.4018 -0.0728 -0.0591
1
0.1636
0.555* -0.2423 0.5251 -0.3776 0.2066
1
0.0322
0.0398 -0.0371 0.4794 -0.1551 0.1946 0.6142*
1
0.6073* 0.5167
0.122 0.6401** -0.5604* 0.4056
0.4042
0.3327
1
0.0416 -0.0204 -0.1363 0.4649 -0.0195 0.6134* 0.4408 0.7488** 0.5856*
39
Figure 3 Band Pass Filter Output, Investment and Consumption Correlations for 1990-2003
OUTPUT CORRELATIONS
1990-2003
EGY
ISR
MOR
TUR
HUN
POL
ROM
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
GRC
POR
SPA
FRA
ITA
GER
UK
USA
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
PER
VEN
AUS
NZL
CHN
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
THA
ZAF
EGY
ISR
MOR
TUR
1
-0.1593
0.0997
-0.0008
0.7294**
0.4972
0.4084
0.0172
0.3319
0.0767
0.0761
0.3206
0.29
0.6973**
0.4773
-0.3904
-0.0087
0.1033
0.1368
0.0061
-0.3318
0.7543**
0.6834**
0.6869**
-0.0368
-0.428
-0.2465
0.2591
0.2511
0.011
0.2882
-0.0528
0.1105
-0.6762**
0.5968*
0.5046
-0.1661
0.6714**
-0.2244
-0.2038
-0.2982
-0.3784
-0.2066
0.2354
0.3092
-0.2158
0.4482
1
-0.1748
0.0566
-0.1438
0.2539
0.0729
0.4296
-0.0327
0.2949
0.4292
0.4507
-0.3824
-0.0231
0.3515
0.2652
0.234
0.1141
0.2644
0.4482
0.3494
0.0905
0.138
0.1696
0.0029
0.2669
0.143
0.4165
-0.2725
0.1453
-0.1895
-0.0239
0.3526
0.2904
-0.3112
0.0495
0.2764
-0.0895
0.1845
0.5034
0.5997
0.2464
0.4643
0.151
0.4906
0.3162
0.104
1
-0.3694
-0.0577
-0.3515
0.0674
0.0985
0.0909
0.2743
0.0213
0.309
0.2852
0.1477
0.0944
0.291
0.1283
0.2196
0.0885
0.062
0.2118
0.0813
-0.1511
-0.1592
0.301
-0.3571
-0.02
-0.0664
-0.1609
0.0785
0.4442
-0.0611
-0.0166
-0.2438
-0.162
-0.1439
-0.2838
0.017
0.205
-0.1805
-0.3394
-0.1094
-0.238
0.0555
-0.2177
-0.1217
0.2774
1
0.0698
0.2377
-0.0798
0.2082
0.1223
-0.1754
-0.1473
-0.4267
-0.4571
0.1344
-0.2986
-0.087
0.1355
-0.0626
-0.1713
-0.0753
-0.2486
-0.0637
0.1313
-0.1934
0.1266
0.5426*
0.2023
-0.0287
0.0006
0.1725
0.1865
0.3187
-0.2524
0.5355*
-0.0096
-0.2423
-0.0297
-0.1428
0.3364
-0.1336
0.2164
0.1228
0.1608
0.2325
0.1229
-0.1512
0.081
HUN
POL
ROM
NOR
SWISS
AUT
1
0.4997
0.4824
-0.0351
0.5922*
0.0978
0.3034
0.3855
0.3609
0.8564**
0.5381*
-0.3403
-0.0754
0.1751
0.3424
0.2163
-0.2546
0.9134**
0.8098**
0.8384**
0.0503
-0.2802
-0.3666
0.2322
0.3657
0.0448
0.0919
0.2664
0.0176
-0.5978*
0.5636*
0.4759
-0.2255
0.778**
-0.052
-0.1156
-0.0721
-0.1707
-0.0735
0.4942
0.4116
-0.0581
0.5049
1
0.308
0.5513*
-0.2557
-0.4188
-0.1354
0.3
0.2998
0.3075
0.0838
-0.5365*
-0.3599
-0.3999
-0.2919
-0.2037
-0.6421**
0.5203
0.658**
0.4873
-0.1072
0.3908
0.3399
0.5784*
0.2021
0.5563*
0.0554
0.3165
0.538
-0.1528
0.7655**
0.5463
0.6047**
0.4521
-0.4048
-0.0794
0.1989
-0.0251
0.1725
0.1386
0.4595
-0.0593
0.2021
1
0.098
0.0499
-0.313
-0.0618
0.348
0.4249
0.4253
0.3364
-0.3661
-0.2514
-0.2014
-0.1158
0.2143
-0.3118
0.6111**
0.0671
0.2948
-0.6167**
0.0859
-0.6136**
0.5772*
0.7653**
-0.4407
0.0595
0.5486*
0.381
-0.5189
0.141
0.7669**
0.0025
0.7064**
0.2516
0.4239
0.2431
0.5169
0.4712
0.6935**
0.4718
0.677**
0.809**
1
-0.3439
-0.2434
0.123
0.5388*
-0.1156
0.1875
0.0812
0.2113
0.1048
-0.0481
-0.26
0.1484
-0.1265
0.1674
0.1643
-0.0399
0.0414
0.5421*
0.4894
0.544*
0.1228
0.5331*
0.4674
0.3037
0.6889**
0.3734
0.1703
0.0313
0.3926
-0.0188
0.1601
0.167
0.2975
0.31
0.3889
0.2891
0.3395
0.0319
0.3667
1
0.7289**
0.714**
0.2274
-0.2861
0.7308**
0.6538**
0.3391
0.5552*
0.7729**
0.8444**
0.6293**
0.5101
0.5006
0.459
0.5252*
0.3051
-0.5463*
-0.5563*
-0.2931
-0.0346
-0.3022
0.0665
-0.1396
-0.508
-0.2412
-0.1754
-0.1947
-0.8215**
0.3267
0.4264
-0.0018
-0.1301
-0.2371
-0.1815
0.42
0.144
-0.1322
0.3131
1
0.7746**
0.3319
-0.4707
0.3427
0.6495**
0.6641**
0.7561**
0.8631**
0.9285**
0.6634**
0.8463**
0.1101
0.243
0.2753
0.3754
-0.5574*
-0.272
-0.4459
-0.5315*
-0.1225
0.0113
-0.549*
-0.4502
-0.0521
-0.355
-0.4987
-0.657**
0.0145
0.2549
-0.0403
-0.2531
-0.4536
-0.3525
-0.0355
-0.1334
-0.288
-0.0614
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
GRC
POR
SPA
FRA
ITA
GER
UK
USA
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
1
0.1397
0.0166
0.2189
0.2507
0.4979
-0.1537
0.5548*
-0.1735
-0.442
-0.4676
-0.0183
-0.3421
-0.2227
-0.3468
-0.0132
-0.556*
-0.3319
1
0.3705
0.3309
0.2256
0.1479
-0.2392
-0.1648
-0.0696
0.1314
-0.4072
-0.4047
-0.1838
-0.2952
0.1061
-0.1695
-0.4145
0.364
1
0.4657
0.1842
0.1501
0.3263
0.3092
0.097
0.1253
-0.0071
0.2851
0.4463
0.2788
0.403
0.2446
0.2748
0.4379
URY
BOL
COL
PER
VEN
AUS
NZL
CHN
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
THA
ZAF
EUROPE
EUROPEAN UNION
1
0.6503**
1
-0.4903
0.1064
1
0.5804* 0.5829*
0.0099
1
0.8382** 0.7857** -0.1708 0.7434**
0.6905** 0.3517 -0.6735** 0.106
0.7304** 0.2797 -0.7972** 0.3645
0.8677** 0.4142 -0.5874* 0.5451*
0.8812** 0.4178
-0.4075 0.5236*
0.8784** 0.6381** -0.4796 0.5502*
0.7758** 0.3186 -0.6214** 0.0893
0.3796 0.6396** 0.3767
0.863**
0.3873
0.3916
0.1103
0.695**
0.4852
0.5389*
0.2614 0.6941**
0.2318
-0.0288 -0.1315
0.0898
-0.3635 -0.1725 -0.1245
-0.302
-0.3251 -0.1326
0.012
-0.4253
-0.0789
0.4887
0.3758
0.1792
-0.1167
0.1936
0.3322
0.3461
-0.1355
0.1113
0.1589
-0.0547
0.0325
0.3349
0.0164
0.3922
-0.2791
0.0924
0.4043
0.167
-0.061
0.5963*
0.351
0.0299
-0.0066 -0.2439 -0.597* -0.4002
-0.2877
0.1194
0.5503*
0.2925
-0.2505
0.2295 0.6348** 0.2012
-0.5594* -0.0518
0.4166
-0.5119
0.1801
0.3968
0.3514
0.675**
0.4283
0.1116 -0.5446* 0.3084
0.3363
0.2685
-0.2692
0.0034
0.1079
0.0806
-0.1559
-0.113
-0.0464
0.0524
-0.0669 -0.1015
0.0879
0.153
-0.1701 -0.0126
0.3861
0.3944
-0.0867 0.6582**
0.2773
0.3986
0.0271
0.388
0.0241
0.1266
0.054
-0.0745
0.2788
0.5418*
0.1003 0.7033**
1
0.4001
0.5718*
0.7242**
0.7896**
0.8331**
0.5332*
0.6603**
0.479
0.6675**
-0.1146
-0.4408
-0.5536*
0.125
0.1549
-0.2745
0.1419
-0.1702
0.119
-0.3944
0.0121
0.129
-0.4936
0.5658*
0.2407
0.2694
-0.0805
-0.1282
0.0075
0.4369
0.3082
0.095
0.5033
1
0.8571**
0.808**
0.5855*
0.7207**
0.8966**
-0.2587
-0.242
-0.2648
0.1779
-0.0828
-0.0882
-0.3687
-0.2777
-0.1239
0.2784
-0.3155
-0.1514
0.4454
-0.5783*
-0.7363**
-0.5417*
-0.297
0.5573*
0.1618
-0.1201
0.0037
-0.0486
0.0835
-0.2563
-0.1019
0.0293
1
0.9162**
0.7169**
0.7563**
0.8047**
-0.0697
0.0403
-0.0566
0.0977
-0.1758
-0.2753
-0.4567
-0.2516
-0.2146
0.2538
-0.4486
-0.3458
0.2509
-0.3903
-0.6344**
-0.7135**
0.0024
0.5622*
0.1013
-0.2389
-0.1612
-0.116
0.1841
-0.1861
-0.1847
0.1381
1
0.8823**
0.8109**
0.8378**
0.1689
0.2053
0.214
0.2286
-0.4482
-0.3954
-0.433
-0.1958
-0.242
0.2271
-0.4222
-0.3644
0.0196
-0.3255
-0.5287*
-0.8257**
0.1198
0.4938
0.0629
-0.279
-0.2506
-0.2111
0.2438
-0.1099
-0.2116
0.1942
1
0.7816**
0.7888**
0.3079
0.3781
0.4631
0.2314
-0.5225*
-0.4638
-0.3775
-0.2926
-0.2223
-0.0872
-0.4113
-0.4108
-0.1702
-0.2433
-0.3291
-0.6945**
0.2556
0.3008
0.0802
-0.1671
-0.3259
-0.2285
0.1786
0.0031
-0.1319
0.0884
SWE
GRC
POR
SPA
FRA
ITA
G-7
1
0.77**
1
0.3319
-0.1784
1
0.108
-0.181 0.7374**
1
0.2625
-0.0603 0.8673** 0.8547**
-0.1473
0.1655
0.0071
0.3795
-0.1303 -0.3416 -0.2971 -0.2531
-0.5351* -0.3017 -0.3434
0.0724
-0.0015 -0.4073 0.5289*
0.161
0.1361
-0.3584
0.4338
-0.1115
-0.3782 -0.3211
0.0111
0.4478
0.1926
-0.0029
0.224
-0.0319
-0.0129 -0.4508
0.3288
-0.0976
0.02
-0.2956
0.3176
0.0158
0.071
0.2252 -0.5836* -0.4027
-0.3801 -0.6681** 0.4299
0.5993*
-0.2249 -0.604** 0.5935*
0.2853
-0.5795* -0.6184** -0.1373 -0.0217
0.2467
-0.2221 0.7138** 0.5487*
0.592*
0.4749
0.0134
-0.2314
0.383
0.2519
0.0809
-0.1663
0.0666
-0.0675
0.0888
0.0033
0.1346
-0.0798 -0.0302 -0.3817
0.1552
-0.0804
0.0999
-0.1164
0.5001
0.0342
0.5849*
0.2139
0.1665
-0.1762 0.6084** 0.4459
0.2126
-0.0006
0.0938
-0.3119
0.4582
-0.0461 0.682**
0.1887
NAFTA
1
0.1652
-0.4807
-0.2349
0.3476
0.1353
0.0809
-0.107
-0.0247
0.1716
-0.5981*
0.4329
0.5155
-0.084
0.5874*
-0.2326
0.0701
0.1004
-0.2516
-0.0154
0.2972
0.5807*
-0.0377
0.3108
AMERICAS
1
-0.3374
1
MERCOSUR
0.5094
0.3844
1
-0.2136
0.2497
0.1231
1
-0.657** 0.1673
-0.5045
0.5064
1
0.5646*
0.3047 0.8708** 0.1085
-0.4892
0.0041
0.1004
0.1291
0.2192
0.2702
-0.3124 0.5642* -0.0225 0.6024** 0.6485**
-0.3096
0.3212
0.2685 0.8711** 0.4525
0.1445 0.6435** 0.5167
-0.0755 -0.2464
-0.1086
0.0926
0.2309
0.1619
0.1727
-0.3828 -0.0757 -0.2628 0.6922** 0.5702*
-0.1273 0.5578* 0.661** 0.5372* -0.0282
-0.3765 -0.1715 -0.5793* 0.1314
0.4368
0.0079
0.0833
-0.438
-0.0698
0.2003
-0.2449
0.0207
-0.3714
0.3731
0.3036
0.0719
0.3065
0.0934
0.5671*
0.1312
-0.323
0.4167
-0.2172
0.4434
0.5238*
-0.1974
0.333
-0.129
0.5427*
0.3865
-0.1421
0.0434 -0.5266* 0.3869
0.5959*
0.1005
-0.0357 -0.0771 0.7352** 0.3073
-0.4836
0.1571
-0.4927
0.4174
0.5064
-0.2545 -0.0291 -0.5172
0.523 0.6679**
ANDEAN
1
0.0364
1
0.2509
-0.4002
1
0.4955 -0.6667** 0.3893
0.6176** 0.1788
0.3926
0.0394 -0.7556** 0.5301*
-0.2203
0.2468 -0.6822**
0.2557
-0.046 -0.5454*
0.3261
0.2331
-0.3994
0.326
0.1665
-0.4484
0.3722
0.1068
-0.3815
0.1472
-0.1928 -0.1824
0.4376
-0.1937 -0.0555
0.2611
-0.1747 -0.4218
0.3369
-0.33
-0.0413
ASIA
1
0.3794
1
0.5833* -0.1956
1
-0.2384 -0.6078** 0.0143
0.3699
-0.0531
0.0937
0.3612
0.3288
-0.1629
0.3416
0.12
0.0037
0.44
0.1859
0.0561
0.3761
-0.3659
0.5031
0.6368** 0.1612
0.2452
0.5468*
0.0582
0.2352
0.4752
-0.3063 0.5746*
1
0.5558*
0.3526
0.6085**
0.5337*
0.7427**
0.2424
0.4752
0.5957
1
0.7695**
0.8098**
0.8994**
0.6159**
0.6611**
0.8867**
0.4702
JAP
KOR
1
ASEAN
0.7555**
1
0.8909** 0.9241**
1
0.4768 0.6681** 0.6782**
1
0.7983** 0.5141 0.7467** 0.6562**
1
0.6855** 0.8849** 0.8543** 0.6181** 0.5345*
0.2667
0.527*
0.5212 0.9122** 0.5794*
1
0.5192
THA
ZAF
INVESTMENT CORRELATIONS
1990-2003
EGY
ISR
MOR
TUR
HUN
POL
ROM
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
GRC
POR
SPA
FRA
ITA
GER
UK
USA
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
PER
VEN
AUS
NZL
CHN
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
THA
ZAF
EGY
ISR
MOR
TUR
HUN
POL
ROM
BEL
DEN
NLD
FIN
1
-0.316
0.358
-0.2071
0.4711
0.579*
0.0284
0.531*
0.3977
0.1179
0.442
0.7640**
0.4112
0.7171**
0.5535*
0.3471
0.5938*
0.5416*
0.2529
0.3212
0.1349
0.7818**
0.3676
0.412
-0.0875
0.101
-0.1441
0.2814
0.3816
-0.0078
0.4871
0.0947
0.4848
-0.2357
0.3688
0.0519
-0.3526
0.4373
0.0249
-0.3353
0.0235
-0.2698
-0.453
0.0539
0.2182
-0.4816
0.6576**
1
0.0268
-0.1805
-0.7352**
-0.1572
-0.3957
-0.3183
-0.2543
0.3426
-0.4484
-0.061
0.0607
-0.2512
0.0173
0.227
0.0305
0.0924
0.0114
0.4144
0.2224
-0.7292**
-0.5988*
-0.4522
-0.109
-0.2395
0.1898
-0.1453
0.0485
0.0746
0.0199
-0.356
-0.1459
0.4795
-0.4616
-0.5825*
0.1045
-0.2709
0.2029
0.3252
0.2632
0.3052
0.3226
-0.5233*
-0.2922
0.3164
-0.2813
1
-0.0111
-0.3076
0.0956
-0.6233**
0.0162
0.0423
0.1537
0.3601
0.1893
0.3382
0.3044
0.2122
0.6294**
0.6137**
0.568*
0.3806
0.4238
0.3283
0.1935
-0.075
-0.213
-0.0794
-0.1422
-0.1481
-0.3454
0.017
-0.0211
0.6119**
-0.6026**
-0.3537
0.2533
-0.1983
-0.5407*
-0.3264
0.0898
0.0165
-0.4309
-0.4472
-0.5331*
-0.5488*
-0.4173
0.2375
-0.541*
-0.1272
1
0.007
0.4137
0.1074
0.3632
-0.1071
-0.0388
0.1832
0.1034
0.1793
0.1289
-0.2241
0.1588
0.1626
-0.2265
-0.2115
-0.0916
-0.2293
0.1598
0.3432
0.1957
0.2138
0.5032
0.2128
0.2706
-0.0061
0.2599
0.3262
0.2125
-0.1801
0.2931
-0.2596
-0.0563
-0.0771
-0.3867
0.3057
0.0156
0.3278
0.2485
0.2406
0.3512
0.0487
-0.0484
0.0744
1
0.3782
0.3918
0.5043
0.4909
0.0848
0.3009
0.3217
0.1283
0.2372
0.144
-0.2132
0.1397
-0.0141
0.104
-0.288
0.0915
0.7997**
0.7163**
0.7014**
0.3978
0.0068
0.1094
0.1994
0.1014
0.1744
-0.008
0.5106
0.3677
-0.4876
0.4647
0.4288
-0.0455
0.1567
-0.2131
-0.3484
-0.0991
-0.3191
-0.379
0.2929
0.2378
-0.4286
0.3005
1
0.233
0.7568**
0.2126
0.1195
0.223
0.6598**
0.6052**
0.4397
0.2473
0.1781
0.5808*
0.1567
0.0272
0.1333
0.0957
0.6068**
0.7448**
0.4943
0.1065
0.1866
0.3261
0.3731
0.3274
0.46
0.5046
0.1935
0.3254
0.0248
0.297
0.0784
-0.0433
0.0651
0.0324
-0.2941
0.1124
-0.1711
-0.219
0.031
0.0777
-0.4264
0.3309
1
0.2991
-0.1403
-0.5498*
-0.2316
0.0786
-0.3695
-0.179
-0.2411
-0.7982**
-0.4701
-0.5985*
-0.4534
-0.5338*
-0.4894
0.2244
0.4566
0.0985
-0.271
0.6177**
0.1843
0.6314**
-0.1708
0.1243
-0.3091
0.8105**
0.5613*
-0.2006
0.5542*
0.7932**
0.5504*
0.2883
-0.3925
0.0005
0.3472
0.2366
0.2278
0.4706
-0.0597
0.2114
0.3313
1
-0.1153
-0.2109
-0.1163
0.3929
0.0664
0.1302
-0.228
-0.0161
0.2846
-0.2417
-0.4395
-0.3587
-0.2936
0.5979*
0.549*
0.3663
0.2593
0.3747
0.5933*
0.3918
-0.0631
0.7263**
0.6974**
0.5061
0.4249
0.2587
0.5745*
0.0102
0.2393
-0.2145
-0.303
-0.6219**
0.2058
-0.2372
-0.4226
-0.0555
0.2946
-0.6435**
0.3545
1
0.7238**
0.6328**
0.6313**
0.5417*
0.5665*
0.7908**
0.2286
0.4018
0.6820**
0.7945**
0.4654
0.6043**
0.5082
0.399
0.5204
-0.0207
-0.3541
-0.4629
0.1772
0.7539**
-0.4418
-0.2585
-0.0438
0.2529
-0.6756**
-0.3335
0.1805
-0.5104
0.5616*
0.2496
0.2226
-0.1936
-0.1567
-0.0529
0.1172
0.1299
-0.0829
0.2179
1
0.3788
0.4568
0.6300**
0.3263
0.6190**
0.5189
0.5707*
0.6805**
0.7762**
0.6844**
0.8374**
0.09
0.0573
0.303
0.2902
-0.532*
-0.1251
-0.16
0.5313*
-0.1666
-0.0231
-0.3368
-0.1223
-0.1536
-0.6710**
-0.4539
-0.4787
0.0325
0.4024
0.2046
-0.0772
-0.0997
-0.0215
-0.2815
0.0058
-0.1101
-0.1379
1
0.4765
0.6792**
0.8099**
0.6623**
0.5162
0.6392**
0.7165**
0.6827**
0.5782*
0.445
0.5576*
0.3272
0.6002*
0.1273
-0.0705
-0.5759*
-0.06
0.4278
-0.5109
0.047
-0.3159
-0.1259
-0.4053
-0.2714
0.0415
-0.8314**
0.3175
0.5542*
0.1616
-0.132
-0.041
-0.01
0.4945
0.228
-0.0796
0.2868
1
0.5412*
0.7260**
0.6828**
0.3096
0.6179**
0.5756*
0.4008
0.5154
0.2931
0.6146**
0.4048
0.4481
-0.1958
0.2114
-0.1455
0.5969*
0.6587**
-0.1077
0.3053
0.2126
0.5925*
-0.1847
-0.1004
0.0291
-0.3484
0.4758
0.2168
0.0287
0.3193
0.053
-0.0274
0.1103
0.2214
-0.2176
0.6181**
1
0.6626**
0.6818**
0.6390**
0.8447*
0.7341**
0.6875**
0.7327**
0.6829**
0.3718
0.4296
0.5406*
0.2539
-0.3736
-0.168
-0.1899
0.5209
-0.0772
0.2171
-0.505
-0.1984
-0.183
-0.2681
-0.2323
-0.6422**
0.0959
0.536*
0.0875
-0.1854
-0.1649
-0.0947
0.0262
-0.0392
-0.1871
0.0435
1
0.8083**
0.6427**
0.6202**
0.7646**
0.5055
0.6652**
0.1957
0.6026**
0.2192
0.4924
-0.1255
0.0807
-0.5894*
0.2281
0.6772**
-0.4695
0.2281
-0.177
0.1834
-0.4043
-0.1587
0.0545
-0.8334**
0.4195
0.6587**
0.2405
0.153
0.1514
0.0436
0.4563
0.0088
-0.0131
0.7020**
1
0.5127
0.5004
0.8894**
0.8124**
0.8121**
0.5252*
0.3882
0.1475
0.2929
-0.2708
-0.2762
-0.6782**
0.1063
0.8164**
-0.6233**
-0.1466
-0.3066
0.1549
-0.6208**
-0.3502
0.0851
-0.7095**
0.6479**
0.5508*
0.3968
-0.0652
0.038
0.0557
0.1713
-0.2152
0.1344
0.448
1
0.7157**
0.7543**
0.4871
0.7449**
0.3869
0.1656
-0.1916
0.1111
0.2058
-0.2639
-0.3018
-0.3539
0.3623
-0.1774
0.52
-0.6471**
-0.4147
0.093
-0.4803
-0.6495**
-0.7938**
-0.1545
0.6889**
0.043
-0.0647
-0.062
-0.1716
-0.1096
-0.0988
-0.208
0.1618
1
0.7135**
0.5613*
0.6608**
0.6554**
0.482
0.3316
0.4887
0.3665
-0.2009
0.0445
-0.1766
0.271
0.1286
0.6080**
-0.4174
-0.1372
0.1551
-0.194
-0.5209
-0.5626*
-0.0506
0.3283
-0.2772
-0.1131
-0.3237
-0.362
-0.1569
0.295
-0.5383*
0.0653
1
0.8594**
0.8805**
0.6644**
0.3193
-0.0043
0.2379
-0.0849
-0.421
-0.5866*
-0.1837
0.6489**
-0.5116
0.1266
-0.5934*
-0.0987
-0.3479
-0.4411
-0.2923
-0.8002**
0.4243
0.5281*
0.1793
-0.2384
-0.1693
-0.1589
-0.0667
-0.0042
-0.114
0.2196
1
0.7611**
0.8523**
0.2686
0.1744
0.223
0.021
-0.5267*
-0.5283*
-0.2919
0.522*
-0.5156
-0.1916
-0.5235*
-0.2501
-0.4891
-0.5333*
-0.1436
-0.6197**
0.4419
0.3784
0.1884
-0.4183
-0.2885
-0.152
-0.0739
-0.0895
-0.0643
-0.0828
1
0.6376**
0.0414
-0.1582
0.0947
-0.098
-0.2635
-0.4852
-0.1526
0.5398*
-0.4874
0.0817
-0.5887*
-0.197
-0.1196
-0.6163**
-0.4012
-0.7285**
0.2496
0.6994**
0.3896
0.0536
0.1392
0.143
-0.0137
-0.2104
0.1541
0.1787
HUN
POL
ROM
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
GRC
POR
SPA
FRA
ITA
GER
UK
USA
1
0.1166
0.1926
0.2864
0.3575
-0.6407**
-0.05
-0.4399
0.231
-0.0945
-0.0369
-0.5144
-0.3039
-0.1189
-0.4403
-0.4159
-0.3616
0.0765
0.1587
-0.0461
-0.4018
-0.4092
-0.2597
-0.3654
0.0919
-0.2666
-0.4056
1
0.7435**
0.5652*
0.1483
0.196
-0.0795
0.2622
0.253
0.0736
0.3581
0.3075
0.3041
-0.4036
0.3482
0.2774
-0.2792
0.3453
-0.0463
-0.4469
-0.1219
-0.4045
-0.5194
0.2717
0.2072
-0.5819*
0.5194
1
0.5644*
0.2128
0.0939
0.2304
0.2347
0.1418
0.3323
0.1052
0.3315
0.1994
-0.3243
0.3709
0.4301
0.0902
0.2148
-0.2294
-0.3855
-0.2325
-0.4221
-0.3474
0.1804
0.1199
-0.4551
0.0894
GER
UK
USA
CAN
MEX
CHL
ARG
1
0.5276*
-0.1136
0.0387
0.14
0.3006
0.0642
0.0604
0.1413
0.2644
-0.2543
0.1767
0.1488
-0.4295
-0.046
0.2435
0.0035
0.1033
0.0157
0.0153
0.4266
0.4583
-0.2105
0.2359
1
-0.3007
0.511
-0.5043
-0.3862
0.503
0.2878
-0.0916
-0.4063
0.2852
0.0358
-0.4483
-0.1326
-0.7493**
0.0645
-0.3703
-0.094
-0.2534
-0.2941
-0.081
0.2539
-0.4434
-0.3768
1
0.1047
0.6807**
-0.2235
0.0716
0.2371
0.6703**
0.3666
0.2673
0.1624
0.2811
0.2439
0.0361
-0.044
-0.0293
0.6725**
0.4456
0.2777
0.4971
0.061
0.1198
0.5441*
1
-0.0159
-0.567*
0.9593**
0.443
0.3293
0.0443
0.6848**
0.3556
-0.3197
0.6691**
-0.6506**
-0.546*
-0.6033**
0.1196
-0.2495
-0.2914
-0.4651
0.2588
-0.4923
-0.3949
CAN
MEX
CHL
ARG
BRA
PAR
PER
VEN
AUS
NZL
CHN
IND
HGK
INDO
MYS
PHL
SGP
EUROPE
EUROPEAN UNION
G-7
NAFTA
AMERICAS
MERCOSUR
1
0.3887
1
-0.0536
-0.492
1
ANDEAN
-0.0262 -0.1797 0.5771*
1
0.7568** -0.1196
0.2642
-0.0658
1
0.8519** 0.3784
0.0104
-0.0496 0.6876**
1
-0.0998 -0.5775* 0.6127** 0.6079** -0.0421
-0.19
1
0.1143
-0.3432
0.4476
0.1555
0.3928
0.3867
-0.0584
1
0.4826
0.1963
-0.3018 -0.5948* 0.5173
0.4644 -0.6883** 0.4522
1
0.2079 -0.5397* 0.5898* -0.0756
0.5197
0.2418
0.3385
0.4427
0.2099
1
0.4131
0.5776* -0.6160** -0.3899
0.0887
0.4748 -0.7144** 0.0551 0.6060** -0.1302
1
-0.0773
0.4837 -0.5276* -0.0456 -0.3965 -0.2864 -0.1679 -0.5869* -0.1961 -0.8360** -0.0681
0.2208
0.5191 -0.7125** -0.6544** -0.12
0.0664
-0.3417 -0.5252* 0.2423
-0.3821
0.2359
0.6510** 0.0591
-0.0078
0.0857
0.5401*
0.465
0.3197
-0.1256 -0.0018
0.0104
-0.1793
0.4673
0.2007
-0.3839 -0.3156
0.2488
0.2478
0.0675
-0.3033
0.1574
-0.1688 -0.0676
0.3956
0.2546
-0.4491 -0.527*
0.132
0.1634
-0.0203 -0.4024
0.2356
-0.1205
0.0117
0.3672
0.1503
-0.4799 -0.3198
0.3227
0.1613
-0.3984
0.0547
0.5865* -0.3841
0.1886
0.1709
-0.1127
0.2169
0.3097
0.1372
0.3217
0.3167
0.1496
-0.1722
0.0193
-0.1076
0.1974
0.2238 -0.6265** -0.7223** -0.0035
0.0369
-0.2488 -0.3298
0.36
-0.1105
0.1846
0.6621** 0.4663
-0.3207
0.1498
0.4356 0.6096** -0.334
0.1846
0.3686
-0.3474
0.4336
ASIA
1
0.6672**
1
0.3317
0.4033
1
ASEAN
0.5635* 0.8018** 0.8354**
1
0.5112 0.8937** 0.6496** 0.9330**
1
0.481
0.4844
0.4302
0.5939* 0.5442*
1
-0.3337 -0.3479
0.0175
-0.1832 -0.1639
-0.061
1
0.4706 0.9239**
0.42
0.8209** 0.8991** 0.4974
-0.45
0.3455
0.2225
0.5569*
0.4266
0.1883
0.5659* -0.0994
1
0.1565
THA
ZAF
1
0.5231*
CONSUMPTION CORRELATIONS
1990-2003
EGY
ISR
MOR
TUR
HUN
POL
ROM
NOR
SWISS
AUT
BEL
DEN
NLD
FIN
SWE
GRC
POR
SPA
FRA
ITA
GER
UK
USA
CAN
MEX
CHL
ARG
BRA
PAR
URY
BOL
COL
PER
VEN
AUS
NZL
CHN
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
THA
ZAF
EGY
ISR
1
-0.0038
1
0.3216
-0.232
-0.0558 -0.1445
0.1466
-0.1774
-0.1517
0.3805
-0.1869 -0.0124
-0.1431
0.4021
0.4513
-0.4874
0.3065
-0.0695
0.5156
-0.1547
-0.1622 -0.0744
0.5308* -0.2078
0.3273
-0.2321
0.5736* -0.0091
0.1682 -0.5631*
0.055
-0.2781
0.3614
-0.4318
0.3874
-0.1771
0.2165
-0.3534
0.3083
-0.2088
0.2976
0.1295
0.205
0.33
0.2003
-0.062
0.4792
-0.2887
-0.5982* 0.2587
0.0321
0.0186
0.211 0.7838**
-0.2094
0.1546
-0.162
0.2271
0.1529
-0.2017
-0.5631* -0.0832
-0.2392 0.6407**
-0.2976 -0.0708
0.3287
0.053
-0.0254
0.4781
-0.4412
0.4574
-0.1568 -0.2646
-0.1284 -0.2392
-0.1636
0.3197
-0.2082
0.3516
-0.1238
0.0499
0.0994
0.3727
-0.4393 -0.3808
0.1197
0.4543
-0.2603
0.4444
0.058
0.0314
MOR
1
-0.369
-0.1328
0.0307
0.0664
0.1664
0.3478
0.189
0.1776
0.5366*
0.035
0.246
0.1952
0.2426
-0.1883
0.0479
0.1388
0.1488
0.0258
-0.1262
-0.3337
-0.2455
0.1113
-0.0597
0.2412
-0.1936
0.2708
0.014
-0.0526
-0.1971
0.1006
-0.3
-0.1051
0.282
-0.4343
0.2645
0.298
-0.2382
-0.2651
-0.0935
-0.0427
0.2787
-0.4294
-0.205
0.1968
TUR
BRA
PAR
URY
BOL
COL
PER
VEN
AUS
NZL
CHN
IND
JAP
KOR
HGK
INDO
MYS
PHL
SGP
EUROPE
1
-0.2452
1
0.0265
-0.3576
1
0.0994
-0.0422 -0.5728*
1
0.3355 -0.7471** 0.5777*
0.0426
-0.0276
0.133 -0.7280** 0.437
0.0969
-0.2125 -0.3235 -0.0467
-0.1719
-0.059
-0.354
-0.2344
-0.521
0.0153
0.3864
-0.0242
0.2292
-0.2073 -0.1926 -0.0236
0.1412
-0.2524 -0.4342 0.6077**
-0.0848 -0.2269
-0.211
-0.0663
0.0121
-0.2181 -0.4824
0.0897
0.2852
-0.4007
0.1074
-0.447
0.0525
-0.08
-0.3899 -0.1669
-0.2561
0.1934 -0.6974** 0.2409
0.0014
-0.2929 -0.1977
-0.225
-0.2037
-0.291
-0.2102 -0.3281
0.1185
0.5691* -0.3883
0.519
-0.1685 0.6019* -0.1561
0.1765
0.1998
0.4474
-0.3364
0.3761
0.0323
0.5889* -0.0406 -0.5715*
0.3515
-0.3903 0.5707* -0.1405
0.1106
-0.3367 0.5214* -0.4435
-0.0503 -0.3224
0.0407
0.2672
-0.2921
0.2438
-0.2177
0.3459
0.0014
0.1725 0.7595** -0.6185**
0.2398
0.1608
0.4399 -0.5289*
0.5289* -0.1726 -0.1917
0.3303
-0.2558 -0.5074 0.5894*
-0.023
0.3129
-0.1783
0.3144 -0.6622**
0.074
-0.2148 -0.5706* 0.6559**
-0.3955
0.0345
-0.0775 0.6756**
0.1504
0.0219 0.7180** -0.4625
0.0263
0.3418
0.2044
0.2641
0.1415
-0.27
-0.5492* 0.5941*
-0.001
-0.4108 -0.0379
0.1959
0.1484
-0.1358
0.3898
-0.3492
0.2605
-0.4118 -0.1819 0.6145**
0.0348
-0.2583 -0.2585
0.363
0.1231
-0.2657 -0.1086 0.5765*
0.1857
0.1449
-0.0311
0.0496
0.1136
-0.3412
-0.122
0.4956
0.2399
-0.3166 -0.3871 0.8408**
1
-0.3984
1
0.2101
0.4244
1
-0.2017 0.6132** 0.7891**
0.1198
-0.0324 -0.2732
0.0787
0.5811* 0.647**
0.2428 0.6442** 0.4811
0.1225
0.5661* 0.8013**
-0.1244 0.7423** 0.7274**
0.0794
0.115
0.464
-0.1664 0.6194** 0.8006**
-0.3791 0.7379** 0.6618**
0.0165
0.5202 0.7845**
-0.122
0.2973 0.6032**
-0.1559
0.3005
-0.0058
-0.2868
0.1454
-0.0159
-0.1302
0.3564
0.131
-0.3094
0.0666
0.315
0.5451* -0.5226* -0.158
0.5206
-0.0787
0.4508
0.2996
-0.1547 -0.0726
-0.0819 -0.0484 -0.1927
0.2632 -0.5609* -0.1231
-0.064
0.0428
-0.0455
0.086
-0.1124 -0.1519
0.5216* -0.4995 -0.3412
-0.004
-0.4094
0.027
0.0333
0.5169
0.2477
0.1825
0.0468
-0.2567
0.3326 -0.8573** -0.2852
0.0237
-0.0268 -0.5342*
0.2181
0.3021
0.3874
0.4245
-0.3768
0.129
0.3479 -0.7621** -0.1516
0.3633
-0.0465 -0.1816
0.3396
-0.0858
0.2508
0.0614
0.3177
-0.289
0.1819
-0.4125 -0.0112
0.4614
-0.3279
0.0149
0.3145
0.4467
0.1064
EUROPEAN UNION
1
-0.1139
1
0.6629** -0.2874
1
0.312
-0.0297 0.6565**
1
0.887** -0.0185 0.7944** 0.6059**
0.7812** -0.0576 0.7008** 0.5678*
0.4836
-0.3889 0.6785**
0.08
0.8693** -0.2451 0.8349** 0.4762
0.7066** -0.304 0.6577** 0.5239*
0.8824** 0.0058 0.6935** 0.3867
0.7116** -0.3515 0.6354** 0.2362
-0.1012 -0.0437
0.1077
0.4213
0.0523
-0.0161
0.2444
0.1609
0.114
0.0822
0.2485
0.4789
0.352
-0.0645
0.1458
-0.1855
-0.3419
0.2679
-0.4526 -0.4374
0.3888
0.443
0.288
0.0563
-0.0381 -0.1783 -0.1251
0.0856
-0.22
0.3776 -0.7353** -0.1823
-0.1899
0.3999
-0.178
-0.5201
0.195
0.2854
0.3016
-0.2112
-0.345
-0.2412 -0.4888 -0.2452
-0.2839
0.4728
-0.4782 -0.2569
0.0866
-0.2342 -0.2255 -0.6941**
0.2485
-0.2695
0.391 0.7762**
-0.3632
0.3278
-0.2368
0.3086
-0.4964 -0.0321 -0.2949 -0.5925*
-0.57* 0.6302** -0.2979
0.0742
0.0584
-0.1208 -0.0922
0.4911
-0.1564 -0.2485 -0.1934
0.2047
-0.3361 -0.0922 -0.5914* -0.4743
-0.3837 -0.1094 -0.1942
0.4451
0.0172
-0.217
-0.1925
0.2988
-0.3231
0.2914
-0.0289
0.2629
-0.2185 -0.3341 -0.2807 -0.0254
-0.3589 -0.2581
-0.326
0.2226
-0.0416
0.0763
0.0856 0.7063**
1
0.7127**
0.4035
0.8078**
0.6354**
0.828**
0.606**
0.1014
0.1833
0.3171
0.213
-0.3389
0.5013
0.1323
-0.2915
-0.1671
0.172
-0.4941
-0.1431
-0.2027
0.4637
-0.1258
-0.4502
-0.4033
0.0965
0.0172
-0.33
-0.1415
0.168
-0.289
-0.0727
-0.1611
0.2081
1
0.5936*
0.9088**
0.6992**
0.9071**
0.6794**
-0.1818
-0.156
0.0867
0.0811
-0.2917
0.3033
-0.3769
-0.3149
-0.3701
0.1019
-0.1227
-0.4657
-0.0173
0.3026
-0.3542
-0.5986*
-0.3285
0.3302
-0.1565
-0.5589*
-0.1584
-0.123
0.211
-0.5024
-0.3124
0.1594
1
0.7167**
0.3147
0.6695**
0.7667**
-0.5512*
-0.2195
-0.3263
0.0697
-0.0655
0.3148
-0.3602
-0.8461**
0.0292
0.3444
-0.1754
-0.3643
0.4439
-0.1167
-0.6922**
0.1023
-0.5416*
-0.2335
-0.1488
-0.2658
-0.3649
-0.4139
-0.0089
-0.4386
-0.3935
-0.4074
G-7
1
0.7447**
1
0.9161** 0.5423*
1
0.7906** 0.633** 0.7068**
1
-0.1003
0.2183
-0.2858
-0.472
1
0.0477
0.3591
-0.1436 -0.1812 0.7579**
0.1593
0.1804
0.0734
-0.3424 0.8659**
0.3291
0.1328
0.2132
0.089
0.2035
-0.4166 -0.6941** -0.112
-0.4911 -0.3353
0.3402
-0.1551 0.5902*
0.0785
-0.2145
-0.3428 -0.1066 -0.2679 -0.1243
0.1955
-0.5185 -0.2524 -0.3534 -0.5835* 0.2377
-0.213
-0.4565
-0.098
-0.3236 -0.0847
0.2321
-0.1841
0.2986
-0.0963 -0.0249
-0.3398 -0.3712
-0.224
-0.4241 -0.1397
-0.5806* -0.5872* -0.265
-0.3242 -0.2718
0.0511
-0.3811
0.1963
0.1431 -0.6685**
0.2457
0.4241
0.1577
0.196
0.4318
-0.4997
0.0566
-0.5031 -0.4292
0.4837
-0.4058 -0.5212 -0.3832 -0.2673 -0.1566
-0.4621 -0.4243 -0.4389 -0.7468** 0.4364
0.0854
0.1787
0.1281
0.0123
0.0719
-0.1549 -0.1417 -0.1166
0.1332
-0.0558
-0.4652 -0.6667** -0.3274 -0.2599
-0.184
-0.3287 -0.2712 -0.2933 -0.2325
0.1802
-0.1546 -0.0284 -0.0981 -0.0538
0.2284
-0.136
-0.0427 -0.0748 -0.2338 -0.1182
-0.3193
-0.258
-0.3747
-0.272
0.4444
-0.3852 -0.1792
-0.358
-0.1839
0.1629
-0.0833
0.0746
-0.0153 -0.3003
0.4445
NAFTA
1
0.6727**
0.1649
-0.3803
-0.1204
0.1251
-0.116
0.1767
0.2058
-0.4757
-0.2314
-0.5248*
0.1783
0.3771
0.168
0.2036
-0.4447
-0.2489
-0.3573
-0.2831
-0.1544
-0.2332
0.191
-0.1399
-0.0318
1
0.2551
-0.2057
0.112
0.0536
0.1379
-0.0173
0.2269
-0.1363
-0.2682
-0.473
0.4378
0.1827
-0.1957
0.4076
0.0525
-0.0617
-0.1634
0.1493
0.1664
-0.129
0.3664
0.0276
0.4297
AMERICAS
1
-0.2071
0.2896
-0.442
-0.0283
0.4164
0.4264
-0.2833
-0.5211
0.2261
-0.371
-0.5007
0.0518
0.0482
-0.1877
-0.3132
0.1468
-0.5346*
-0.164
-0.6167**
0.1769
-0.4597
-0.4733
1
0.4991
0.0287
0.2741
0.5268*
0.2568
0.608**
0.5561*
0.5611*
-0.4954
-0.1264
0.5023
0.1601
0.0055
-0.0107
0.4624
0.0092
-0.0173
0.1931
-0.0157
0.1159
0.0157
MERCOSUR
1
-0.1941
1
-0.1282
0.2637
0.6132** -0.3141
0.6069** -0.4277
-0.1737
0.0369
0.235
0.628**
0.2925
-0.2164
-0.3071 0.5499*
-0.3281
0.493
0.203
-0.0715
0.057
-0.331
-0.1315
0.1003
-0.1578 0.5292*
0.112
0.3217
-0.323
0.5002
-0.1328 0.6872**
-0.1499 -0.2851
-0.1643
0.56*
-0.2984 0.6275**
-0.0903
0.4517
1
-0.0832
1
ANDEAN
-0.3941 0.6565**
1
0.4392
-0.1882 -0.2237
1
0.3867
0.1907
-0.1294
0.0985
-0.0986
0.3389
0.3196
0.4514
0.0185 -0.8034** -0.4787 -0.0781
0.4282
-0.1905 -0.4804 -0.1317
-0.2281 0.7645** 0.2698
-0.0003
0.2725
0.339
0.304
-0.0053
0.4823 -0.5971* -0.6781** 0.4853
0.198
-0.3725 -0.7305** 0.1173
0.3774
0.2552
-0.2231
0.3221
0.2887 -0.5956* -0.6167** 0.3474
0.5017
-0.4544 -0.7056** 0.2254
-0.0004 -0.2414 -0.0175
0.3562
0.3303
-0.0545 -0.3761
0.0949
0.3876
-0.3969 -0.8046** 0.3449
0.3775 -0.5692* -0.3774
0.3096
1
0.061
1
-0.0347 -0.5909*
1
0.4032 -0.7971** 0.3689
1
0.2291
0.3819 -0.6456** -0.1175
0.034
-0.3998 -0.2023
0.351
-0.0569 -0.1823
0.4778
0.1811
0.3398
-0.0811
0.4721
0.1815
0.4481
0.4739
-0.2118 -0.1838
0.3038
-0.3293 0.6745** 0.3666
0.3317
-0.1925 0.6069** 0.3154
0.0123
-0.2283
0.0425
0.2753
0.1673
-0.0585
0.3138
0.1322
0.3797
-0.2191
0.498
0.4478
0.2024 -0.5456* 0.7569** 0.5352*
ASIA
1
0.0793
-0.5483*
0.0185
0.4335
-0.3021
-0.2661
-0.2405
0.1885
0.024
-0.5812*
1
-0.095
-0.3486
-0.1319
0.0978
-0.2902
0.4338
-0.1075
-0.1765
0.2105
1
0.5299*
0.1444
0.6323**
0.6806**
0.2138
0.2129
0.617**
0.6642**
1
0.6194**
1
ASEAN
0.7293** 0.3184
1
0.8459** 0.5533* 0.7224**
1
-0.3124 -0.5505* 0.2056
-0.3578
1
0.6845** 0.7293** 0.4829 0.7614** -0.666**
1
0.8986** 0.5356* 0.8045** 0.8703** -0.1032 0.6899**
0.3041
-0.1409 0.7463** 0.5708*
0.4071
0.1803
40
Figure 4 Evolution of Average Output, Investment and Consumption Correlations in Each Period
Average Band-Pass Filter Output Correlations
0.400
0.395
0.350
0.285
0.280
0.300
0.250
0.200
0.150
0.157
0.121 0.117
0.122
0.092
1990-2003
0.077
0.100
1970-79
1980-89
0.083
0.043
0.018
0.050
0.000
All Countries
Developed Countries
Developed-Emerging
Markets
Emerging Markets
Income Groups
0.350
0.300
0.247
0.234
0.250
0.200
0.150
0.093
1970-79
0.087
0.100
0.050
0.079
0.062
0.013
0.018
1980-89
1990-2003
0.038
0.000
-0.027
-0.038
-0.050
All Countries
Developed Countries
Developed-Emerging
Markets
Emerging Markets
Income Groups
0.254
0.250
0.200
0.154
0.127
0.150
0.100
0.045
0.078
0.074
0.053
0.033
0.058
0.037
0.050
1970-79
1980-89
1990-2003
0.000
-0.002
-0.050
-0.060
-0.100
All Countries
Developed Countries
Developed-Emerging
Markets
Emerging Markets
Income Groups
41
0.810
0.800
0.673
0.700
0.600
0.546
0.469
0.500
0.448
0.382
0.400
0.400
0.353
0.340
1990-2003
0.227
0.166
0.200
1980-89
0.269
0.265
0.300
1970-79
0.345
0.325
0.278
0.191
0.154
0.138
0.071
0.100
0.014
0.000
G-7
Asia
Europe
Americas
Latin America
Regional Groups
0.600
0.500
0.457
0.419
0.415
0.398
0.400
0.339
0.313
0.361
0.288
0.300
0.253
0.226
0.218
0.161
0.200
0.160
0.159
0.100
1990-2003
0.048
0.057
1970-79
1980-89
0.097
0.016
0.000
-0.05
-0.07
-0.100
G-7
Asia
Europe
Americas
Latin America
Regional Groups
0.622
0.600
0.500
0.426
0.410
0.400
0.350
0.300
0.200
0.222
0.200
0.137 0.171
0.221
0.190 0.189
0.197
1970-79
0.140
0.139
0.074
0.082
0.072
0.100
1980-89
1990-2003
0.037
0.000
-0.008
-0.004
-0.027
-0.100
G-7
European Union
Japan, Korea,
Hong
Kong+ASEAN
Europe
Asia
Americas
Latin America
Regional Groups
41
Table 2 Ranking of Average Output, Investment and Consumption Correlations in Each Period
Band Pass Filter Output Correlations
1970-79
All Countries
Developed Countries
Developed-Emerging Markets
Emerging Markets
G-7
Japan, Korea, Hong Kong+ASEAN
European Union
Asia
Europe
Americas
Latin America
0.121
0.395
0.092
0.018
0.810
0.546
0.469
0.265
0.154
0.071
0.014
1980-89
All Countries
Developed Countries
Developed-Emerging Markets
Emerging Markets
Latin America
G-7
European Union
Americas
Japan, Korea, Hong Kong+ASEAN
Europe
Asia
0.117
0.285
0.083
0.077
0.400
0.382
0.353
0.345
0.278
0.227
0.166
1990-2003
All Countries
Developed Countries
Emerging Markets
Developed-Emerging Markets
Japan, Korea, Hong Kong+ASEAN
European Union
G-7
Asia
Europe
Latin America
Americas
0.122
0.280
0.157
0.043
0.673
0.448
0.340
0.325
0.269
0.191
0.138
1990-2003
All Countries
Developed Countries
Emerging Markets
Developed-Emerging Markets
European Union
Japan, Korea, Hong Kong+ASEAN
Europe
G-7
Asia
Latin America
Americas
0.093
0.329
0.079
0.018
0.585
0.415
0.339
0.313
0.161
0.160
0.159
1990-2003
All Countries
Developed Countries
Emerging Markets
Developed-Emerging Markets
European Union
Japan, Korea, Hong Kong+ASEAN
Asia
Europe
G-7
Latin America
Americas
0.033
0.254
0.058
-0.060
0.426
0.410
0.221
0.189
0.171
0.139
0.082
0.013
0.234
-0.027
-0.038
0.457
0.253
0.057
0.048
0.016
-0.05
-0.07
1980-89
All Countries
Developed Countries
Developed-Emerging Markets
Emerging Markets
Latin America
G-7
Americas
European Union
Europe
Japan, Korea, Hong Kong+ASEAN
Asia
0.087
0.247
0.062
0.038
0.419
0.398
0.361
0.288
0.226
0.218
0.097
0.045
0.154
0.037
-0.002
0.622
0.222
0.140
0.072
0.037
-0.004
-0.027
1980-89
All Countries
Developed Countries
Emerging Markets
Developed-Emerging Markets
Latin America
European Union
Americas
Europe
G-7
Japan, Korea, Hong Kong+ASEAN
Asia
0.074
0.127
0.078
0.053
0.350
0.200
0.197
0.190
0.137
0.074
-0.008
42
0.186
0.453
0.136
0.112
0.822
0.690
0.554
0.330
0.214
0.144
0.108
1980-89
All Countries
Developed Countries
Emerging Markets
Developed-Emerging Markets
G-7
European Union
Europe
Japan, Korea+ASEAN (exc. Singapore)
Asia exc. Hong Kong, Singapore
Americas
Latin America
0.217
0.521
0.180
0.134
1.000
0.817
0.542
0.456
0.297
0.166
0.132
1990-2003
All Countries
Developed Countries
Emerging Markets
Developed-Emerging Markets
G-7
European Union
Japan, Korea+ASEAN (exc. Singapore)
Europe
Asia exc. Hong Kong, Singapore
Americas
Latin America
0.276
0.555
0.278
0.177
1.043
0.901
0.748
0.611
0.502
0.251
0.214
0.480
1.275
0.313
0.300
3.478
1.608
1.239
1.073
0.945
0.819
0.601
1990-2003
All Countries
Developed Countries
Emerging Markets
Developed-Emerging Markets
G-7
European Union
Japan, Korea+ASEAN (exc. Singapore)
Asia exc. Hong Kong, Singapore
Europe
Americas
Latin America
0.533
1.299
0.375
0.366
3.464
1.719
1.572
1.234
1.161
1.030
0.817
0.144
0.332
0.127
0.069
0.446
0.432
0.339
0.199
0.166
0.137
0.120
1990-2003
All Countries
Developed Countries
Developed-Emerging Markets
Emerging Markets
G-7
European Union
Europe
Japan, Korea+ASEAN (exc. Singapore)
Asia exc. Hong Kong, Singapore
Americas
Latin America
0.200
0.382
0.187
0.121
0.523
0.484
0.392
0.350
0.287
0.183
0.164
0.491
0.562
0.497
0.349
0.304
0.297
0.296
0.286
0.272
0.237
0.222
1990-2003
All Countries
Emerging Markets
Developed-Emerging Markets
Developed Countries
Japan, Korea+ASEAN (exc. Singapore)
Asia exc. Hong Kong, Singapore
Europe
Americas
European Union
G-7
Latin America
0.594
0.699
0.594
0.391
0.506
0.467
0.334
0.314
0.314
0.314
0.298
0.082
0.451
0.006
0.001
0.797
0.501
0.286
0.067
0.027
0.024
0.018
1990-2003
All Countries
Developed Countries
Emerging Markets
Developed-Emerging Markets
European Union
Europe
Latin America
Japan, Korea+ASEAN (exc. Singapore)
G-7
Americas
Asia exc. Hong Kong, Singapore
0.165
0.562
0.084
0.079
1.000
0.747
0.400
0.343
0.319
0.312
0.137
trade2%
1970-79
All Countries
Developed Countries
Developed-Emerging Markets
Emerging Markets
G-7
European Union
Japan, Korea+ASEAN (exc. Singapore)
Europe
Asia exc. Hong Kong, Singapore
Americas
Latin America
1980-89
0.477
All Countries
1.270
Developed Countries
0.321
Developed-Emerging Markets
0.272
Emerging Markets
3.375
G-7
1.573
European Union
1.102 Japan, Korea+ASEAN (exc. Singapore)
1.098
Europe
0.868
Asia exc. Hong Kong, Singapore
0.821
Americas
0.564
Latin America
intratrade
1970-79
All Countries
Developed Countries
Developed-Emerging Markets
Emerging Markets
G-7
European Union
Europe
Japan, Korea+ASEAN (exc. Singapore)
Americas
Asia exc. Hong Kong, Singapore
Latin America
1980-89
0.132
All Countries
0.305
Developed Countries
0.106
Developed-Emerging Markets
0.061
Emerging Markets
0.440
G-7
0.393
European Union
0.320
Europe
0.140 Japan, Korea+ASEAN (exc. Singapore)
0.133
Asia exc. Hong Kong, Singapore
0.124
Americas
0.122
Latin America
tradepartner similarity(*)
1970-79
All Countries
Emerging Markets
Developed-Emerging Markets
Developed Countries
Europe
European Union
Asia exc. Hong Kong, Singapore
G-7
Japan, Korea+ASEAN (exc. Singapore)
Americas
Latin America
0.421
0.484
0.429
0.307
0.275
0.255
0.254
0.235
0.229
0.209
0.199
1980-89
All Countries
Emerging Markets
Developed-Emerging Markets
Developed Countries
Europe
Japan, Korea+ASEAN (exc. Singapore)
Asia exc. Hong Kong, Singapore
European Union
G-7
Americas
Latin America
fta membership
1970-79
All Countries
Developed Countries
Emerging Markets
Developed-Emerging Markets
European Union
Europe
G-7
0.061
0.347
0.000
0.000
0.577
0.386
0.286
1980-89
All Countries
Developed Countries
Emerging Markets
Developed-Emerging Markets
European Union
Europe
G-7
Japan, Korea+ASEAN (exc. Singapore)
Latin America
Asia exc. Hong Kong, Singapore
Americas
43
0.151
0.157
0.151
0.145
0.158
0.146
0.144
0.143
0.142
0.125
0.093
1980-89
All Countries
Developed Countries
Developed-Emerging Markets
Emerging Markets
G-7
European Union
Europe
Americas
Latin America
Japan, Korea+ASEAN (exc. Singapore)
Asia exc. Hong Kong, Singapore
0.027
0.423
0.072
-0.279
0.862
0.719
0.599
0.557
0.212
0.045
-0.246
1980-89
All Countries
Developed Countries
Developed-Emerging Markets
Emerging Markets
G-7
Japan, Korea+ASEAN (exc. Singapore)
Asia exc. Hong Kong, Singapore
European Union
Europe
Americas
Latin America
0.184
0.220
0.188
0.154
0.225
0.218
0.213
0.163
0.163
0.124
0.119
1990-2003
All Countries
Developed Countries
Developed-Emerging Markets
Emerging Markets
European Union
Europe
G-7
Japan, Korea+ASEAN (exc. Singapore)
Asia exc. Hong Kong, Singapore
Americas
Latin America
0.433
0.503
0.443
0.379
0.559
0.528
0.427
0.270
0.248
0.248
0.246
0.417
1.800
0.541
-0.710
2.822
1.854
1.538
1.209
0.867
-0.271
-1.136
1990-2003
All Countries
Developed Countries
Developed-Emerging Markets
Emerging Markets
G-7
European Union
Europe
Asia exc. Hong Kong, Singapore
Japan, Korea+ASEAN (exc. Singapore)
Americas
Latin America
2.192
4.201
2.325
0.465
4.459
3.945
3.670
2.366
2.178
1.182
0.570
0.072
0.052
0.054
0.090
0.033
0.034
0.039
0.045
0.052
0.052
0.067
1990-2003
All Countries
Developed Countries
Emerging Markets
Developed-Emerging Markets
Japan, Korea, Hong Kong+ASEAN
G-7
Asia
European Union
Latin America
Americas
Europe
0.066
0.046
0.052
0.082
0.028
0.037
0.040
0.042
0.047
0.055
0.059
0.088
0.035
0.088
0.120
0.025
0.034
0.042
0.042
0.043
0.186
0.211
1990-2003
All Countries
Developed Countries
Developed-Emerging Markets
Emerging Markets
European Union
G-7
Europe
Asia
Japan, Korea, Hong Kong+ASEAN
Americas
Latin America
0.059
0.030
0.061
0.074
0.020
0.037
0.037
0.051
0.051
0.072
0.079
ito
1970-79
All Countries
Developed Countries
Developed-Emerging Markets
Emerging Markets
Americas
Japan, Korea+ASEAN (exc. Singapore)
Latin America
G-7
Asia exc. Hong Kong, Singapore
European Union
Europe
0.065
0.051
0.057
0.076
0.030
0.032
0.035
0.041
0.046
0.053
0.059
1980-89
All Countries
Developed Countries
Emerging Markets
Developed-Emerging Markets
Latin America
Japan, Korea, Hong Kong+ASEAN
G-7
Asia
European Union
Americas
Europe
realexchrate (*)
1970-79
All Countries
Developed Countries
Developed-Emerging Markets
Emerging Markets
European Union
Europe
G-7
Asia
Japan, Korea, Hong Kong+ASEAN
Americas
Latin America
0.059
0.031
0.060
0.078
0.028
0.032
0.035
0.043
0.047
0.101
0.116
1980-89
All Countries
Developed Countries
Developed-Emerging Markets
Emerging Markets
European Union
Europe
Japan, Korea, Hong Kong+ASEAN
G-7
Asia
Americas
Latin America
44
0.293
0.159
0.307
0.347
0.119
0.174
0.221
0.242
0.255
0.281
0.369
1980-89
All Countries
Developed Countries
Emerging Markets
Developed-Emerging Markets
G-7
European Union
Latin America
Europe
Americas
Japan, Korea, Hong Kong+ASEAN
Asia
0.281
0.122
0.300
0.332
0.100
0.131
0.218
0.242
0.242
0.313
0.364
1990-2003
All Countries
Developed Countries
Emerging Markets
Developed-Emerging Markets
European Union
G-7
Europe
Latin America
Americas
Japan, Korea, Hong Kong+ASEAN
Asia
0.259
0.099
0.287
0.296
0.086
0.090
0.169
0.213
0.228
0.360
0.384
1990-2003
All Countries
Emerging Markets
Developed-Emerging Markets
Developed Countries
Latin America
Americas
Asia
0.033
0.060
0.026
0.005
0.467
0.318
0.015
1990-2003
All Countries
Emerging Markets
Developed-Emerging Markets
Developed Countries
Latin America
Americas
Asia
G-7
Japan, Korea, Hong Kong+ASEAN
Europe
European Union
0.082
0.100
0.081
0.053
0.244
0.242
0.076
0.048
0.036
0.018
0.013
0.194
0.436
0.100
0.016
1.000
0.682
0.227
0.214
1980-89
All Countries
Emerging Markets
Developed-Emerging Markets
Developed Countries
Latin America
Americas
Asia
Japan, Korea, Hong Kong+ASEAN
0.142
0.342
0.059
0.005
0.800
0.545
0.227
0.214
0.054
0.105
0.037
0.005
0.167
0.156
0.076
0.036
1980-89
All Countries
Emerging Markets
Developed-Emerging Markets
Developed Countries
Americas
Latin America
Asia
G-7
Japan, Korea, Hong Kong+ASEAN
Europe
0.084
0.128
0.074
0.032
0.227
0.222
0.091
0.048
0.036
0.006
45
Obs
702
702
702
702
701
702
702
702
702
114
702
74
702
702
702
702
702
Mean
0.116
0.111
-3.220
-2.812
-2.357
0.098
-0.871
-1.276
0.162
-0.214
0.105
-2.132
-3.000
-2.771
-1.538
0.194
0.005
Std. Dev.
0.263
0.314
0.736
0.744
1.317
0.246
0.682
0.613
0.369
0.488
0.307
0.199
0.668
0.661
0.574
0.396
0.559
Min
-0.591
0.000
-6.392
-5.903
-9.572
0.000
-3.193
-2.831
0.000
-0.707
0.000
-2.831
-4.969
-5.004
-3.493
0.000
-3.568
Max
0.807
1.000
-0.960
-0.809
-0.285
1.000
0.819
0.803
1.000
0.803
1.000
-1.908
-1.631
-1.161
-0.283
1.000
5.195
Notes:
all variables are in logarithms except for bpoutputcorrel, comlang, fta, commoditydummy and oil
highfinglobalization and lowfinglobalization are constructed by multiplying highfingldummy
and lowfingldummy with logarithm of finglobalization
Belgium, China, Germany, Israel, Paraguay, Poland, Romania, Switzerland and South Africa
are not included due to missing observations
Obs
630
630
630
630
629
630
630
630
630
630
630
630
630
630
630
630
630
630
Mean
0.110
0.113
-3.239
-2.805
-2.396
0.110
-0.957
-1.395
-3.002
-2.742
-1.580
0.216
-0.003
1.298
3.701
10.258
2.783
3.831
Std. Dev.
0.265
0.316
0.720
0.739
1.300
0.258
0.637
0.458
0.656
0.666
0.577
0.412
0.569
1.834
0.492
0.886
0.788
0.380
Min
-0.591
0.000
-6.392
-5.903
-9.572
0.000
-3.193
-2.831
-4.969
-5.004
-3.493
0.000
-3.568
-3.310
0.984
7.634
0.958
2.344
Max
0.807
1.000
-0.960
-0.809
-0.285
1.000
0.802
-0.157
-1.699
-1.161
-0.435
1.000
5.195
5.313
4.349
13.100
5.289
4.297
Notes:
all variables are in logarithms except for bpoutputcorrel, comlang, fta, commoditydummy,oil and ito
Belgium, China, Germany, Hong Kong, Hungary, Israel, Paraguay, Poland, Romania, Switzerland
and South Africa are not included due to missing observations
46
Table 9 GMM-IV and OLS Estimation of Basic Specification with Policy Variables
Method
COEFFICIENT
Constant
europedummy
g7dummy
latinamericadummy
asiadummy
comlang
trade1
II
III
GMM-IV
bpoutputcorrel
0.373***
[0.12]
-0.0121
[0.054]
0.220***
[0.045]
0.102*
[0.053]
0.0649
[0.046]
-0.0132
[0.029]
0.148***
[0.03]
GMM-IV
bpoutputcorrel
0.270***
[0.1]
-0.00572
[0.053]
0.234***
[0.044]
0.116**
[0.052]
0.0925**
[0.043]
-0.0175
[0.029]
GMM-IV
bpoutputcorrel
0.102
[0.076]
-0.0349
[0.052]
0.266***
[0.039]
0.131***
[0.05]
0.130***
[0.041]
-0.0144
[0.03]
trade2
0.123***
[0.024]
tradepartner
finglobalization
highfinglobalization
lowfinglobalization
govtspending
realexchrate
structure
commoditydummy
oil
Observations
OI Test ( p value)
R-squared
Correlation
0.0266
[0.078]
0.0158
[0.02]
0.0224
[0.025]
0.0868**
[0.04]
-0.00329
[0.015]
-0.0314**
[0.015]
-0.0114
[0.018]
-0.0790***
[0.017]
0.0101
[0.029]
0.0332**
[0.015]
702
0.7309
0.21
0.4703 *
europedummy
g7dummy
latinamericadummy
asiadummy
comlang
trade1
intratrade
fta
Method
COEFFICIENT
Constant
0.064
[0.076]
0.0369*
[0.021]
0.0404*
[0.023]
0.0844**
[0.04]
-0.00194
[0.015]
-0.0286*
[0.015]
-0.0189
[0.018]
-0.0762***
[0.016]
0.0124
[0.029]
0.0314**
[0.014]
702
0.9589
0.23
0.4864*
II
III
OLS
bpoutputcorrel
-0.00336
[0.086]
-0.0116
[0.046]
0.297***
[0.064]
0.185***
[0.053]
0.171***
[0.039]
-0.00399
[0.034]
0.0359**
[0.016]
OLS
bpoutputcorrel
0.00374
[0.083]
-0.00866
[0.046]
0.294***
[0.064]
0.181***
[0.053]
0.170***
[0.039]
-0.00616
[0.034]
OLS
bpoutputcorrel
0.0141
[0.071]
-0.0263
[0.046]
0.287***
[0.063]
0.161***
[0.052]
0.159***
[0.037]
-0.00899
[0.033]
trade2
0.0686***
[0.013]
0.0973
[0.073]
0.00532
[0.019]
0.0382*
[0.022]
0.0970**
[0.04]
-0.00215
[0.015]
-0.0174
[0.015]
-0.014
[0.017]
-0.0720***
[0.016]
0.0216
[0.028]
0.0259*
[0.014]
701
0.8176
0.27
0.5212*
0.0395**
[0.016]
intratrade
Observations
0.0965
[0.063]
-0.00824
[0.02]
0.0625***
[0.024]
0.0861**
[0.043]
-0.00257
[0.016]
-0.0385**
[0.018]
-0.0142
[0.014]
-0.0837***
[0.017]
-0.0252
[0.026]
0.0327**
[0.016]
702
0.1
[0.062]
0.00124
[0.021]
0.0638***
[0.024]
0.0855**
[0.043]
-0.00221
[0.015]
-0.0378**
[0.018]
-0.0148
[0.014]
-0.0823***
[0.017]
-0.0211
[0.027]
0.0321**
[0.016]
702
0.0420***
[0.0085]
0.106*
[0.061]
-0.00355
[0.02]
0.0524**
[0.023]
0.0915**
[0.042]
-0.00106
[0.015]
-0.027
[0.018]
-0.014
[0.014]
-0.0769***
[0.017]
-0.00132
[0.027]
0.0278*
[0.016]
701
R-squared
Fstatistics
0.26
F(16,685)=14.98
0.26
F(16,685)=15.09
0.28
F(16,684)=16.61
fta
tradepartner
finglobalization
highfinglobalization
lowfinglobalization
govtspending
realexchrate
structure
commoditydummy
oil
47
Endogeneity Tests:
Durbin-Wu-Hausman F Test
Durbin-Wu-Hausman Chi Square Test
Heteroscedasticity Tests:
Pagan-Hall General Statistics
Overidentification Test:
Sargan Overidentification Test
Hansen-J Overidentification Test
(Orthogonality of Specific Instrument)
C-Statistics
C-Statistics
C-Statistics
First Stage Regression Results:
Shea's Partial R2
F-Test
P-value
Identification/IV relevance Test:
Anderson canon. corr. LR statistic
Underidentification Tests:
Cragg-Donald N*minEval stat.
Weak identification Tests:
Anderson-Rubin Test
I
GMM-IV
II
GMM-IV
III
GMM-IV
trade1
gdpproduct
population
distance
trade2
gdpproduct
population
distance
intratrade
gdpproduct
population
distance
0.3023
74.35
0
0.4057
101.51
0
0.3822
107.2
0
Table 11 Change in Average Band-Pass Filter Output Correlation due to One Standard Deviation Increase in Significant Variables
* denotes statistically significant effects
Model
average bpcorrel (1970-2003)
trade1
trade2
intratrade
finglobalization
structure
govtspending
I
0.116
0.109*
II
0.116
III
0.116
0.091*
0.014
0.045*
0.021*
0.025*
0.044*
0.019*
0.090*
0.023*
0.041*
0.012
48
Model: I
COEFFICIENT
Constant
europedummy
g7dummy
latinamericadummy
asiadummy
comlang
trade1
fta
tradepartner
finglobalization
govtspending
realexchrate
structure
commoditydummy
oil
1
bpoutputcorrel
2
trade1
3
finglobalization
4
structure
0.239*
[0.14]
-0.0661
[0.061]
0.198***
[0.066]
0.141**
[0.057]
0.134***
[0.05]
0.00363
0.037
0.138***
[0.031]
0.0378
[0.079]
-0.000327
[0.036]
0.0123
[0.078]
-0.0213
[0.019]
-0.0297
[0.02]
-0.105***
[0.035]
0.0182
[0.031]
0.0288*
[0.016]
-1.852***
[0.34]
-0.212
[0.18]
-4.875***
[0.18]
europedummy
g7dummy
latinamericadummy
asiadummy
comlang
0.558***
[0.035]
-0.500***
[0.056]
realexchrate
-0.126**
[0.059]
0.0932**
[0.037]
structure
commoditydummy
oil
630
0.22
0.4688*
0.213***
[0.033]
0.281***
[0.05]
-0.857***
[0.051]
630
0.51
1
bpoutputcorrel
2
trade2
3
finglobalization
4
structure
0.236*
[0.13]
-0.0623
[0.061]
0.209***
[0.065]
0.154***
[0.056]
0.146***
[0.047]
0.0101
[0.037]
0.126***
[0.027]
0.0758
[0.079]
0.0214
[0.038]
0.0429
[0.077]
-0.0214
[0.019]
-0.0261
[0.02]
-0.0885**
[0.035]
0.0216
[0.032]
0.0284*
[0.016]
-4.651***
[0.37]
-0.343*
[0.18]
-5.039***
[0.18]
-0.382***
[0.021]
0.469***
[0.05]
630
0.35
g7dummy
latinamericadummy
asiadummy
comlang
0.288***
[0.038]
tradepartner
0.101
[0.085]
-0.572***
[0.053]
Observations
R-squared
Correlation
630
0.23
0.4791*
finglobalization
govtspending
realexchrate
-0.123**
[0.062]
0.0515
[0.04]
structure
commoditydummy
oil
0.484***
[0.039]
-0.0227
[0.058]
-0.811***
[0.05]
630
0.58
1
bpoutputcorrel
2
intratrade
3
finglobalization
4
structure
0.042
[0.11]
-0.0594
[0.061]
0.225***
[0.064]
0.138**
[0.055]
0.137***
[0.043]
-0.00465
[0.037]
0.0698***
[0.015]
0.0755
[0.078]
-0.0126
[0.035]
0.0483
[0.076]
-0.0193
[0.019]
-0.0229
[0.02]
-0.0886**
[0.035]
0.0294
[0.033]
0.0238
[0.016]
-1.836***
[0.6]
-0.482***
[0.18]
-4.585***
[0.16]
0.314***
[0.017]
-0.0845***
[0.02]
-0.455***
[0.11]
0.177***
[0.038]
0.578***
[0.039]
percapitadifference
population
distance
630
0.27
-0.475***
[0.056]
0.0182***
[0.0066]
gdpproduct
-0.353***
[0.025]
0.190***
[0.051]
630
0.44
1.979***
[0.12]
ito
0.565***
[0.038]
distance
intratrade
fta
percapitadifference
population
630
0.29
-0.203***
[0.031]
0.0691***
[0.0082]
gdpproduct
Model: III
COEFFICIENT
Constant
europedummy
ito
0.583***
[0.039]
distance
finglobalization
govtspending
0.0282***
[0.0071]
population
trade2
tradepartner
0.914***
[0.073]
percapitadifference
Observations
R-squared
Correlation
-0.136***
[0.035]
fta
ito
gdpproduct
Model: II
COEFFICIENT
Constant
Observations
R-squared
Correlation
629
0.27
0.5152*
0.351***
[0.056]
0.764***
[0.087]
-1.110***
[0.094]
629
0.46
-0.436***
[0.022]
0.342***
[0.043]
629
0.34
629
0.31
49
trade1
0.099*
finglobalization
0.006
structure
0.061*
0.058*
0.004*
0.010*
-0.0068*
-0.0007
0.005
-0.0001
0.0005
0.010*
0.021*
0.024*
0.006*
trade2
0.093*
finglobalization
0.020
structure
0.051*
0.006
0.004*
0.009*
-0.0004
-0.001
0.009
-0.0003
0.001
0.013*
0.011*
0.023*
0.001
intratrade
0.091*
finglobalization
0.022
structure
0.051*
0.063*
0.007*
0.018*
-0.014*
-0.005
0.020
-0.001
0.004
0.010*
0.017*
0.019*
0.007*
50
Bilateral Exports
Bilateral Imports
Total Exports
Total Imports
Description
Annual GDP at constant 1990
prices in units of national
currency.
Gross fixed capital formation
formerly gross domestic fixed
investment includes land
improvement, plant, machinery,
equipment purchases and
construction of roads, railways,
schools, offices, hospitals, private
residential dwellings and
commercial and residential
buildings. Data is in constant
local currency.
Household final consumption
expenditure is the market value of
all goods and services, including
durable products purchased by
households. Data is in constant
local currency.
Total merchandise export from
country i to j. Export data is
annual and in nominal terms
converted to US dollars.
Total merchandise import from
country i to j. Import data is
annual and in nominal terms
converted to US dollars.
Total merchandise export from
country i. Export data is annual
and in nominal terms converted to
US dollars.
Total merchandise import from
country i. Import data is annual
and in nominal terms converted to
US dollars.
Annual nominal GDP measured
in US dollars.
Bilateral annual intra-industry
trade between country i and
country j for 81 industries using
four-digit (ISIC) classification.
year that a free trade agreement or
customs union is notified to
GATT/WTO and in effect
Agriculture corresponds to ISIC
divisions 1-5 and includes
forestry, hunting, and fishing as
well as cultivation of crops and
livestock production.
Industry refers to ISIC divisions
10-45 and includes manufacturing
(ISIC divisions 15-37) comprising
value added in mining,
manufacturing, construction,
electricity, water, and gas.
Source
United Nations online available at
http://unstats.un.org/unsd/snaama/SelectionBasicFast.asp.
Data is available for 1970-2003
World Bank World Development Indicators (WDI)
World Economic Outlook (WEO)
Data is available for 1970-2003
51
Food exports (% of
merchandise exports)
52
Manufactures exports (% of
merchandise exports)
Manufactures comprise
commodities in SITC sections 5
(chemicals), 6 (basic
manufactures), 7 (machinery and
transport equipment), and 8
(miscellaneous manufactured
goods), excluding division 68
(non-ferrous metals).
General government final
consumption expenditure includes
government current expenditures
for purchases of goods and
services including compensation
of employees as well as most
expenditures on national defense
and security.
Quarterly exchange rates between
country i and US dollar.
CPI
Government final
consumption expenditure
Merchandise imports
Distance
Population
GDP per capita
http://www.indo.com/distance/index.html
World Development Indicators
Data is available for 1970-2003
Penn World Tables 6.1
Data is available for 1970-2003
53