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A Measure of Comovement for Economic Variables: Theory and Empirics

TLDR
In this article, a measure of dynamic comovement between (possibly many) time series and names it cohesion is defined in the frequency domain and is appropriate for processes that are costationary, possibly after suitable transformations.
Abstract
This paper proposes a measure of dynamic comovement between (possibly many) time series and names it cohesion. The measure is defined in the frequency domain and is appropriate for processes that are costationary, possibly after suitable transformations. In the bivariate case, the measure reduces to dynamic correlation and is related, but not equal, to the well known quantities of coherence and coherency. Dynamic correlation on a frequency band equals (static) correlation of bandpass-filtered series. Moreover, long-run correlation and cohesion relate in a simple way to co-integration. Cohesion is useful to study problems of business-cycle synchronization, to investigate short-run and long-run dynamic properties of multiple time series, and to identify dynamic clusters. We use state income data for the United States and GDP data for European nations to provide an empirical illustration that is focused on the geographical aspects of business-cycle fluctuations.

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Citations
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Journal ArticleDOI

Will business cycles in the euro area converge? a critical survey of empirical research

TL;DR: In this article, a survey of business cycle synchronization in the European monetary union focuses on two issues: have business cycles become more similar, and which factors drive business cycle synchronisation.
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The Impact of the Global Financial Crisis on Business Cycles in Asian Emerging Economies

TL;DR: This paper analyzed the transmission of global financial crisis to business cycles in China and India and found a significant link between trade ties and dynamic correlations of GDP growth rates in emerging Asian countries and OECD countries.
Journal ArticleDOI

Measuring comovement in the time–frequency space

TL;DR: In this article, the authors proposed a new measure of comovement resorting to wavelet analysis, which allows one to assess simultaneously the comovements at the frequency level and over time.
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Un)Predictability and macroeconomic stability

TL;DR: This paper showed that the ability to predict several measures of inflation and real activity declined remarkably, relative to naive forecasts, since the mid-1980s, and this break down in forecast ability appears to be an inherent feature of the most recent period and thus represents a new challenge for competing explanations of the 'Great Moderation'.
References
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Journal ArticleDOI

Séries codépendantes : application à l’hypothèse de parité du pouvoir d’achat

TL;DR: In this paper, les notions de degre de persistance des chocs et de vecteurs de codependance, directions peu sensibles a ces choc, sont ensuite appliquees a letude de la parite du pouvoir d'achat en relatif entre la France and l'Allemagne.
Journal ArticleDOI

Sectoral Shifts and Cyclical Unemployment in Japan

TL;DR: In this article, the authors examined the impact of sectoral shifts on male and female unemployment in recessions and found significant short-term effects on unemployment on both genders in Japan.
Journal ArticleDOI

[Testing for Common Features]: Comment

TL;DR: The authors show that the Engle-Kozicki formulation of common features has some surprising, counterintuitive, and, in particular, undesirable implications when applied to international business cycles, such implications can be derived only on a case-by-case basis and are necessarily specific to each application.
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