On the Phase Dependence in Time-Varying Correlations Between Time-Series

Francisco Blasques ()

No 13-054/III, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This paper proposes the use of a double correlation coefficient as a nonpara- metric measure of phase-dependence in time-varying correlations. An asymp- totically Gaussian test statistic for the null hypothesis of no phase-dependence is derived from the proposed measure. Finite-sample distributions, power and size are analyzed in a Monte-Carlo exercise. An application of this test provides evidence that correlation strength between major macroeconomic aggregates is both time-varying and phase dependent in the business cycle.

Keywords: nonparametric; phase-dependence; time-varying correlation (search for similar items in EconPapers)
JEL-codes: C01 C14 C32 (search for similar items in EconPapers)
Date: 2013-04-04
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20130054

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