A Measure of Comovement for Economic Variables: Theory and Empirics
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Cites background or result from "A Measure of Comovement for Economi..."
...Nevertheless, our analysis differs from Croux et al. (2001) in two important features....
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...Croux et al. (2001) investigate synchronization between European countries at the frequency domain using cohesion measures....
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...…information about bilateral relations and that are useful to provide an overall assessment of the interrelations between a set of elements (markets, countries, etc.).10 We follow Croux et al. (2001) in computing indexes of cohesion to measure the overall degree of European synchronization....
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10 citations
10 citations
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Cites methods from "A Measure of Comovement for Economi..."
...Crone (2005) and Carlino and DeFina (2004) use the cohesion index of Croux, Forni, and Reichlin (2001) to measure the co- movement of state economies....
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References
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"A Measure of Comovement for Economi..." refers background in this paper
...In this category belong the following three concepts: (i) the idea of co-integration (Engle & Granger, 1987): two processes are co-integrated if the spectral density at frequency zero has rank one; (ii) codependence (Gourieroux & Peaucelle, 1992), which refers to linear combinations of correlated…...
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