Measuring the Correlation of Shocks between the UK and the Core of Europe

Stehpen Hall ()

No 213, National Institute of Economic and Social Research (NIESR) Discussion Papers from National Institute of Economic and Social Research

Abstract: This paper considers the question of the symmetry of inflation and GDP shocks between the UK and the three major European EMU countries. It applies a relatively new technique, the orthogonal GARCH model, which allows us to calculate a complete time varying correlation matrix for these four countries. We can then examine the way the conditional correlation of shocks between the UK and the other European countries ahs been evolving over time. Our overall results are that the shocks, which hit the UK, are now broadly symmetrical with France and Italy but that German seems to exhibit very low correlation with any of the other three countries.

Date: 2003-03
New Economics Papers: this item is included in nep-eec and nep-ifn
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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:nsr:niesrd:213

Access Statistics for this paper

More papers in National Institute of Economic and Social Research (NIESR) Discussion Papers from National Institute of Economic and Social Research 2 Dean Trench Street Smith Square London SW1P 3HE. Contact information at EDIRC.
Bibliographic data for series maintained by Library & Information Manager ().