This study introduces a new method for analyzing international business cycle (IBC) dynamics by extending the connectedness measures of Diebold and Yilmaz (2015). Although connectedness measures capture the presence, direction, and magnitude of the effects better than other methods, they typically require a long sample period, which limits their use with time-series data. We present a feasible procedure for constructing time-varying measures of connectedness based on data for 33 countries with only 40 years of quarterly gross domestic product (GDP) data. The remarkable growth of the Chinese economy since the early 2000s, which covers the latter half of our sample period, has drawn significant attention because of its impact on both East Asian countries and the global economy. As an application of our proposed methodology, we analyze the total connectedness for the entire sample as well as for subsample groups, such as the G7, BRICS, and ASEAN, to assess the impact of the Chinese economy on each. In East Asia, along with China's rise, recent decades witnessed broader economic growth and increased trade and investment, leading to a more complex macroeconomic interdependence. In response, this study also examines the regional dynamics and bilateral relations among East Asian countries, with a particular focus on China, Japan, and South Korea.
Inoue et al. (Sat,) studied this question.