A Measure of Comovement for Economic Variables: Theory and Empirics
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3 citations
Cites background from "A Measure of Comovement for Economi..."
...As pointed out by Croux et al. (2001), a measure like the (isolated) squared coherency presented above is not suited for analyzing the comovement of time series, inasmuch it does not contain information about possible phase shifts between cycles in the series Xt and Yt....
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...As pointed out by Croux et al. (2001), a measure like the (isolated) squared coherency presented above is not suited for analyzing the comovement of time series, inasmuch it does not contain information about possible phase shifts between cycles in the series Xt and Yt. In this sense, the correlation coefficient in time domain is more informative, since it is calculated lag by lag, providing both information on the lead-lag structure and the degree of linear relationship between the two series. It is possible to overcome this problem by also presenting the phase spectrum. However, the phase spectrum is difficult to interpret, since it is only defined mod2π, and cannot easily be summarized over a frequency band like in the case of the explained variance. Croux et al. (2001) propose an alternative measure, the so-called dynamic correlation ρ(ω), which measures the correlation between the “in-phase” components of the two series at frequency ω:...
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...Croux et al. (2001) propose an alternative measure, the so-called dynamic correlation ρ(ω), which measures the correlation between the “in-phase” components of the two series at frequency ω: ρ (ω) = cxy (ω)√ fx (ω) fy (ω) ; − 1 ≤ ρ (ω) ≤ 1....
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3 citations
Cites background or methods from "A Measure of Comovement for Economi..."
...The relevance of frequency domain concepts as developed by Croux et al. (2001) and Ftiti (2010) shows that the extent and direction of comovement can differ between frequency bands. Thus, we introduce time concept with frequency domain, and analyse the time–frequency relationship because in the frequency-domain framework time information is lost. Hence, in our contribution, we use the evolutionary co-spectral analysis (ESA), as presented Priestley and Tong (1973) and based on the methodology of Ftiti (2010)....
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...The relevance of frequency domain concepts as developed by Croux et al. (2001) and Ftiti (2010) shows that the extent and direction of comovement can differ between frequency bands. Thus, we introduce time concept with frequency domain, and analyse the time–frequency relationship because in the frequency-domain framework time information is lost. Hence, in our contribution, we use the evolutionary co-spectral analysis (ESA), as presented Priestley and Tong (1973) and based on the methodology of Ftiti (2010). The ESA illustrates the evolution of the co-variance of a time-series at the different frequencies and demonstrates the correlation coefficient in the time–frequency space....
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...The relevance of frequency domain concepts as developed by Croux et al. (2001) and Ftiti (2010) shows that the extent and direction of comovement can differ between frequency bands....
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3 citations
Cites background or methods from "A Measure of Comovement for Economi..."
...…average correlation (Preis et al. 2012), dynamic correlation and GARCH-type models (Syllignakis and Kouretas, 2011), factor pricing models (Bekaert et al., 2008), stochastic matrix theory (Reigneron et al. 2011), spectral analysis (Croux et al. 2001), and wavelet analysis (Rua 2010)....
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...2011), spectral analysis (Croux et al. 2001), and wavelet analysis (Rua 2010)....
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...Hence from a spectral density integral point of view, the frequency domain construction of comovement (e.g., Croux et al., 2001) can be approximated by the state-dependent correlation matrix....
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3 citations
Cites background from "A Measure of Comovement for Economi..."
...Croux et al. (2001) present a good survey on how to measure co-movements of economic variables. cycles have been more synchronized during the EMU period than they were during the EMS period....
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3 citations
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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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