Variability of Dynamic Correlation - The Evidence of Sector-Specific Shocks in V4 Countries

Jitka Poměnková, Svatopluk Kapounek and Roman Maršálek

Prague Economic Papers, 2014, vol. 2014, issue 3, 371-387

Abstract: We focus on changes in dynamic correlation during the recent financial crisis. The results show different responses to this symmetric shock in V4 countries. We discuss possible specialization if the dynamic correlation increases only at certain of the frequencies. Especially, in case of the Czech Republic where the variability of dynamic correlation in business cycle frequencies increased in relation to the euro area, whereas decreased in relation to Germany. Consequently, we point out to the limitations of a correlation and concordance index as common indicators of business cycle synchronization in time domain.

Keywords: real convergence; business cycle; Concordance Index; OCA theory; synchronization; frequency domain (search for similar items in EconPapers)
JEL-codes: C14 E32 F15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.18267/j.pep.489

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