A Measure of Comovement for Economic Variables: Theory and Empirics
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Cites background from "A Measure of Comovement for Economi..."
...These include dynamic correlations (Croux et al. 2001; Fidrmuc et al. 2008), dynamic factor models (Kose et al. 2008; Gregory et al. 1997) which focus on the outcome....
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3 citations
Cites background or methods from "A Measure of Comovement for Economi..."
...Identifi cation of cyclical fl uctuation in the context of convergence analysis is used in Drake and Mills (2011). They focused on examination of properties of GDP in the euro area with the stress to the adoption euro in 1999....
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...Croux et al. (2001) focused on theory and empirics of comovement of economic variables asking whether it can be explained by large aggregate shocks or if the answer should be found in non-linear propagation mechanism....
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...Identifi cation of cyclical fl uctuation in the context of convergence analysis is used in Drake and Mills (2011). They focused on examination of properties of GDP in the euro area with the stress to the adoption euro in 1999. Drake and Mills (2011) have particular interest in the time series decomposition into trend and cyclical components using Christiano-Fitzgerald fi lter, and the Baxter-King fi lter....
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...From a methodical point of view in the last decade the time domain and the frequency domain (Iacobucci, 2003; Iacobucci and Noullez, 2005) analysis has been extended to an integrated view of the time-frequency domain (Croux et al., 2001; Hallett and Richter, 2007; Rua, 2010; Maršálek et al., 2013)....
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...Croux et al. (2001) focused on theory and empirics of comovement of economic variables asking whether it can be explained by large aggregate shocks or if the answer should be found in non-linear propagation mechanism. They propose dynamic correlation and cohesion as the relevant measurement for comovement analysis. Macroeconomic literature often presents standard approach of correlation pre-fi ltered (high-pass or band-pass fi lter application) data. Croux et al. (2001) discuss the difference between correlation of pre-fi ltered data and application of dynamic measure....
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3 citations
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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