Extremal Dependence in International Output Growth: Tales from the Tails
研究多个OECD国家在经济增长极好和极差时期的联动性，发现负增长时跨国尾部依赖远强于正增长时，且经济专业化相似性是唯一有解释力的因素。
Abstract This article explores the comovement of the economic activity of several OECD countries during periods of large negative and positive growth. Extremal dependence measures are here applied to assess the degree of cross‐country tail dependence of output growth rates. Our main empirical findings are: (i) cross‐country tail dependence is much stronger during periods of large negative growth, than during the ones of large positive growth; (ii) cross‐country growth is asymptotically independent; (iii) cross‐country tail dependence is considerably stronger than the one arising from a Gaussian dependence model. In addition, our results suggest that, among the typical determinants for explaining international output growth synchronization, only economic specialization similarity seems to play a role during such extreme periods.