The Synchronization of GDP Growth in the G7 during U.S. Recessions. Is this Time Different?

Using the dynamic conditional correlation (DCC) model due to Engle (2002), we estimate time varying correlations of quarterly real GDP growth among the G7 countries. In general, we find that rather heterogeneous patterns of international synchronization exist during U.S. recessions. During the 2007 – 2009 recession, however, international co-movement increased substantially.