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Extremal Dependence in International Output Growth: Tales from the Tails


  • We are grateful to Anthony Davison, Paul Embrechts, Jonathan Tawn, Feridun Turkman for discussions, and to the Editor and Reviewers for helpful recommendations, that led to a significant improvement of this article. We also thank participants of the 17th International Conference on Computing in Economics and Finance—Society for Computational Economics, for helpful suggestions. The first draft of this article was written while M. de C. was visiting Banco de Portugal and partially revised during his stay at the Swiss Federal Institute of Technology—Ecole Polytechnique Fédérale de Lausanne.


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.

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