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
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"
}