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

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 sta...

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Bibliographic Details
Published in:Ekonomický časopis 2020, Vol.68 (3), p.231-251
Main Authors: Poměnková, Jitka, Klejmová, Eva, Malach, Tobias
Format: Article
Language:English
Subjects:
Globalization
Socio-Economic Research
Supranational / Global Economy
Online Access:Get full text
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Summary: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 Visegrad Group Countries with the same data type and time range.
ISSN:0013-3035