Exchange Rate Regimes and International Output Co-Movement
Applied Economics Letters
Utlizing Johansen's (1988) multivariate cointegration testing procedure, we find a cointegrating vector between the outputs of five major industrialized nations for the fixed exchange rate period. However, this relationship breaks down for the flexible exchange rate era. We argue that the breakdown of monetary policy coordination caused by the abandonment of the fixed exchange rates explains the weakening of the international character of business cycles.
Taylor & Francis
Caporale, Tony and Jung, Chulho, "Exchange Rate Regimes and International Output Co-Movement" (1998). Economics and Finance Faculty Publications. 20.