A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach
Essahbi Essaadi and
Mohamed Boutahar
Economics Bulletin, 2010, vol. 30, issue 2, 1054-1070
Abstract:
In this paper, we suggest a different dynamic measure of comovement which is unlike previous studies allowing to test instability in comovement between two non stationary economic time series. We use the frequency approach, which is based on evolutionary spectral analysis, to estimate the Time-Varying Coherence Function (TVCF). Then we test stability in both cross-spectra and TVCF by detecting endogenously various break points in each function. Applying this new methodology to the GDP growth rate of the US and UK, we get an interesting result about period of business cycle convergence and divergence for these economies.
Keywords: Comovement; Spectral Analysis; Time Varying Coherence Function; Structural Change (search for similar items in EconPapers)
JEL-codes: C1 E3 (search for similar items in EconPapers)
Date: 2010-04-22
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)
Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I2-P99.pdf (application/pdf)
Related works:
Working Paper: A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach (2010)
Working Paper: A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach (2008) 
Working Paper: A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach (2008) 
Working Paper: A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach (2008) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-09-00601
Access Statistics for this article
More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley (j.p.conley@vanderbilt.edu).