A Measure of Comovement for Economic Variables: Theory and Empirics
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Cites background from "A Measure of Comovement for Economi..."
...As to the question whether EMU has promoted business cycle synchronisation in the euro area, Graphs 3 and 4 suggest that the degree of cross-country correlation was slightly higher in the first half of the nineties (single market, run-up to EMU) than in the first five or six years following the introduction of the euro in 1999.16 14 See European Commission (2004) for a detailed discussion of these forces of cyclical convergence in EMU....
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...Source: Commission services 40 See Croux et al. (2001) for details on the concept of dynamic correlation....
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...28 See Section 6 for a comparison with countries outside the euro-area....
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...5 See European Commission (2006b) for a detailed description of the scope and methodology of the survey data....
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...Furthermore, due to the higher (monthly) observation frequency, the manufacturing data might possibly indicate some short-lived periods of divergence not 1 See Darvas, Rose and Szapáry (2005)....
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50 citations
50 citations
Cites background from "A Measure of Comovement for Economi..."
...Uri et al. (1985) or focus on long-run dynamic correlation as defined in Croux et al. (2001)....
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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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