Detail publikace

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

POMĚNKOVÁ, J. KLEJMOVÁ, E. MALACH, T.

Originální název

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

Typ

článek v časopise ve Web of Science, Jimp

Jazyk

angličtina

Originální abstrakt

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

Klíčová slova

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

Autoři

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

Vydáno

25. 3. 2020

Nakladatel

Ekonomický ústav SAV

Místo

Bratislava

ISSN

0013-3035

Periodikum

Journal of Economics

Ročník

68

Číslo

3

Stát

Slovenská republika

Strany od

231

Strany do

251

Strany počet

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 {Poměnková} 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"
}