A Measure of Comovement for Economic Variables: Theory and Empirics
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Citations
342 citations
Cites background or methods from "A Measure of Comovement for Economi..."
...Croux et al. (2001) suggest that for more than two series, one should look at the cohesion of these series, defined as the (weighted) average of the binary dynamic correlation coefficients....
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...According to Artis and Zhang (1997), business cycles in Europe were more similar after the start of the ERM than before, which they interpret as evidence that monetary integration will enhance business cycle synchronization....
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...They argue that this is inconsistent with Artis and Zhang’s (1999) view that increased monetary integration, specifically after the creation of the European ERM in 1979, and business cycle synchronization are positively related....
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...The simplest solution is to compare correlations in two periods, for example, before and after the establishment of the Exchange Rate Mechanism (ERM) (Artis and Zhang, 1997, 1999), or for multiple periods as in Inklaar and De Haan (2001)....
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...measures have been suggested in the literature as well, like the dynamic correlation measure of Croux et al. (2001), the phase-adjusted correlations of Koopman and Azevedo (2003) and the concordance index of Harding and Pagan (2002).13 The dynamic correlation measure of Croux et al. (2001) is…...
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318 citations
231 citations
Cites background or methods from "A Measure of Comovement for Economi..."
...An alternative measure of synchronization in the case of business cycles is dynamic correlation, as was proposed by Croux et al. (2001). Consider two stochastic process, x and y, with defined spectral density functions, Sx(λ) and Sy(λ), and a co-spectrum Cxy(λ), which are defined for all frequencies -π ≤ λ≤ π....
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...An alternative measure of synchronization in the case of business cycles is dynamic correlation, as was proposed by Croux et al. (2001)....
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...An alternative measure of synchronization in the case of business cycles is dynamic correlation, as was proposed by Croux et al. (2001). Consider two stochastic process, x and y, with defined spectral density functions, Sx(λ) and Sy(λ), and a co-spectrum Cxy(λ), which are defined for all frequencies -π ≤ λ≤ π. Then, the dynamic correlation according to Croux et al. (2001), ρ(λ), is defined as...
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...Then, the dynamic correlation according to Croux et al. (2001), ρ(λ), is defined as ( ) ( ) ( ) ( )λλ λ λρ yx xy xy SS C = ....
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...…business cycles in Asian emerging economies BOFIT- Institute for Economies in Transition BOFIT Discussion Papers 11/ 2009 Bank of Finland 17 In particular, the OECD countries usually show high dynamic correlations for business cy- cle frequencies and long-term co-movements (see Croux et al, 2001)....
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References
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"A Measure of Comovement for Economi..." refers background or result in this paper
...An interpretation, also suggested by the results of Forni and Reichlin (2001), is that European nations contain clusters of regions with different degrees of synchronization and that geographical effects are not defined by political boundaries....
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...(This confirms results found by Forni and Reichlin (2001).)...
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...First, high cross-correlation neither implies nor is implied by co-integration, common cycles, or common features (Quah, 1993; Forni & Reichlin, 2001)....
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164 citations
"A Measure of Comovement for Economi..." refers background in this paper
...However, the traditional way with which the timeseries literature has dealt with measurement of comovements is based on a notion of rank reduction (Ahn & Reinsel, 1988), which has a different meaning....
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