Cohesion within the euro area and the US: A wavelet-based view

António Rua and Artur Silva Lopes ()

OECD Journal: Journal of Business Cycle Measurement and Analysis, 2015, vol. 2014, issue 2, 63-76

Abstract: The analysis of synchronisation of macroeconomic fluctuations across countries or regions has been crucial, for example, for the debate on economic integration. In this paper, we propose a multivariate measure of synchronisation to assess cohesion across countries or regions by resorting to wavelet analysis. This wavelet-based measure of cohesion allows one to study how synchronisation has evolved over time and across frequencies simultaneously. In particular, we investigate the cohesion among euro area countries and within the US, both at the regional and state levels, over the last decades. In addition, an analysis at the sectoral level is also conducted. The results obtained unveil a noteworthy heterogeneity and highlight the usefulness of a wavelet-based measure of cohesion.

Keywords: cohesion; wavelets; time-frequency; output growth (search for similar items in EconPapers)
JEL-codes: C40 E32 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (16)

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Related works:
Working Paper: Cohesion within the euro area and the U. S.: a wavelet-based view (2012)
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