A Measure of Comovement for Economic Variables: Theory and Empirics
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Cites background from "A Measure of Comovement for Economi..."
...…a rebirth of interest in their application to economics in response to modern advances in non-stationary signal analysis (Baxter and King, 1999; Croux, Forni, and Reichlin, 2001; Ramsey, 2002; Crowley, 2007; Huang, Wu, Qu, Long, Shen, and Zhang, 2003; Breitung and Candelon, 2006; Rua, 2010;…...
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Cites background from "A Measure of Comovement for Economi..."
...In the EU context, much ink has been spilled over both optimal currency areas (OCA) and the economic convergence criteria that were used to determine membership of the single currency project (see Crowley (1996), Buiter, Corsetti and Roubini (1993), Fratianni, von Hagen, and Waller (1992), Eichengreen (1993), to name but a few), but little work has been done on the applicability of these criteria to other regional integration agreements....
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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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