Publication detail

Co-movement (Sub-)Indicator as the Measurement of the Synchrony of EA and Visegrad Group Countries

POMĚNKOVÁ, J. KLEJMOVÁ, E. MALACH, T.

Original Title

Co-movement (Sub-)Indicator as the Measurement of the Synchrony of EA and Visegrad Group Countries

Type

journal article in Web of Science

Language

English

Original Abstract

The paper deals with the construction of a co-movement indicator suitable for assessing the synchrony between countries. The indicator is represented as a time series and its construction is based on a reconstruction of a co-spectrum measure from the time-frequency to the time domain. We use the statistically significant part of the power wavelet co-spectrum for pairs of countries. An advantage of the newly proposed co-movement indicator is a possibility to construct sub-indicators which correspond to the predefined frequency range, e.g. business cycle frequencies. In such a way we can obtain a decomposition of the co-movement indicator (covering all frequencies) into, for example, short-run cycles, medium and long business cycles and long-run cycles. The proposed methodology is demonstrated on the US and EA monthly data of industrial production index in 1991 – 2018. A further application is performed on the EA and Visegrád Group Countries with the same data type and time range

Keywords

co-movement indicator, co-spectrum, globalisation, wavelets

Authors

POMĚNKOVÁ, J.; KLEJMOVÁ, E.; MALACH, T.

Released

25. 3. 2020

Publisher

Ekonomický ústav SAV

Location

Bratislava

ISBN

0013-3035

Periodical

Journal of Economics

Year of study

68

Number

3

State

Slovak Republic

Pages from

231

Pages to

251

Pages count

21

URL

https://www.sav.sk/index.php?lang=sk&doc=journal-list&part=article_response_page&journal_article_no=18231

BibTex

@article{BUT163224,
  author="Jitka {Dluhá} and Eva {Klejmová} and Tobiáš {Malach}",
  title="Co-movement (Sub-)Indicator as the Measurement of the Synchrony of EA and Visegrad Group Countries
",
  journal="Journal of Economics",
  year="2020",
  volume="68",
  number="3",
  pages="231--251",
  issn="0013-3035",
  url="https://www.sav.sk/index.php?lang=sk&doc=journal-list&part=article_response_page&journal_article_no=18231"
}