| Abstract [eng] |
The main purpose of this master thesis is to determine the channels of transmission of the economic impact of the countries and the direction of synchronization of business cycles between the countries. The work consists of three main parts: the analysis of scientific literature, the research methodology and research results, and conclusion and recommendations. The first part of literature analysis reviews the concept of business cycle, theories presented by different authors. The second part covers causes of business cycles and economic indicators characterizing them. The other parts describe the business cycle assessment methods and causes of business cycle synchronization and impact. After the literature analysis research design was set up, research methods and indicator were selected. Object of the survey is fluctuations in economic activity and stock market indices of 6 countries (Germany, France, United Kingdom, Netherlands, Italy, Spain) for the period 1998-2019. For empirical study a graphical method, Hodrick-Prescott filter, Baxter-King filter, correlation analysis, Granger causality test, and Augmented Dickey-Fuller test have been applied to get most information from the data. The performed research of dynamic and correlation analysis revealed that there is a synchronization between countries and it varies between different periods. The correlation analysis showed that there is a statistically significant relationship between the cyclical components of GDP per capita and cyclical stock market indices, it means there is a business cycle synchronization between countries. Moreover, Granger causality test has shown that cyclical stock market indices show economic change earlier than the cyclical component of GDP per capita with 1, 2 or 3 lags and the cyclical components of GDP per capita and cyclical stock market indices act as transmission channels. The conclusions and recommendations summarize the main concepts of literature analysis as well as results of the empirical research. The author believes that the recommendations of the study could give useful guidelines to the financial analysts and financial market participants to make it easier to manage business cycles, to reveal the root causes of an economic downturn. |
