Measuring the Correlation of Shocks betweem the EU15 and the New Member Countries
Stephen Hall () and
George Hondroyiannis ()
No 31, Working Papers from Bank of Greece
This paper considers the question of the symmetry of inflation, exchange rate changes and GDP shocks between the EU15 and the new member countries. It applies a relatively new technique, the orthogonal GARCH model, which allows us to calculate a complete time varying correlation matrix for these countries. We can then examine the way the conditional correlation of shocks between the EU15 and the new member countries has been evolving over time. Our results suggest that the shocks which hit the EU are not symmetrical with those affecting the majority of new member countries. In addition, most of the new member countries seem to exhibit relatively low correlation with EU15.
Keywords: Business cycle; GARCH (search for similar items in EconPapers)
JEL-codes: E32 C22 (search for similar items in EconPapers)
Pages: 27 pages
New Economics Papers: this item is included in nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://www.bankofgreece.gr/BogEkdoseis/Paper200631.pdf Full Text (application/pdf)
Journal Article: Measuring the correlation of shocks between the EU15 and the new member countries (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bog:wpaper:31
Access Statistics for this paper
More papers in Working Papers from Bank of Greece Contact information at EDIRC.
Bibliographic data for series maintained by Christina Tsochatzi ().