Correlation measure to detect time series distances, whence economy globalization

Janusz Miśkiewicz and Marcel Ausloos

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 26, 6584-6594

Abstract: An instantaneous time series distance is defined through the equal time correlation coefficient. The idea is applied to the Gross Domestic Product (GDP) yearly increments of 21 rich countries between 1950 and 2005 in order to test the process of economic globalisation. Some data discussion is first presented to decide what (EKS, GK, or derived) GDP series should be studied. Distances are then calculated from the correlation coefficient values between pairs of series. The role of time averaging of the distances over finite size windows is discussed. Three network structures are next constructed based on the hierarchy of distances. It is shown that the mean distance between the most developed countries on several networks actually decreases in time, —which we consider as a proof of globalization. An empirical law is found for the evolution after 1990, similar to that found in flux creep. The optimal observation time window size is found ≃15 years.

Keywords: Econophysics; Globalization; Time series distance; Network (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:26:p:6584-6594

DOI: 10.1016/j.physa.2008.08.004

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