Connectivity - Based Clustering of GDP Time Series

Eugen Scarlat ()
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Eugen Scarlat: Polytechnic University Bucharest, Applied Sci. Physics Dept.

Journal for Economic Forecasting, 2016, issue 1, 23-38

Abstract: The paper presents an alternative connectivity relationship in the form of band limited, sub-quarterly time shifts between quarterly sampled series of the variations of the gross domestic product (GDP). Eight groups around the GDP were identified, expressed in the most powerful European currencies, the Euro (EUR), the Swiss Franc (CHF), and the Great Britain Pound (GBP). The findings allow for building time maps with daily resolutions that endorse the deterministic perspective of the chronological spread of financial fluctuations generated by bilateral trades. The German GDP seems to impose the timing of the aggregated GDP of the Eurozone-12. The method is helpful to detect time delays between processes in the range of 2-4Q, so that knowing the sense and the magnitude of the movements in the advanced series might indicate the trends in the delayed one, or to lay the input variables in correct time positions in multivariate autoregressive lag models or in mixed frequency models.

Keywords: time shift; cluster; time map; bilateral trade; financial fluctuations (search for similar items in EconPapers)
JEL-codes: C33 C53 E01 F16 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2016:i:1:p:23-38

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