Publication detail

Variability of dynamic correlation - the evidence of sectoral specialization in V4 countries

POMĚNKOVÁ, J. KAPOUNEK, S. MARŠÁLEK, R.

Original Title

Variability of dynamic correlation - the evidence of sectoral specialization in V4 countries

English Title

Variability of dynamic correlation - the evidence of sectoral specialization in V4 countries

Type

journal article - other

Language

en

Original Abstract

We propose novel methodological approach to identify sectoral specialization in terms of economic cycle synchronization. We use dynamic measurement of comovement via lagged dynamic correlation and its variability. For the empirical evidence we use data of Visegrads countries, Germany and the euro area. The results are discussed in the context of Krugman specialization hypothesis. Our findings show higher specialization of countries which have significant comovements with high variability of dynamic correlation.

English abstract

We propose novel methodological approach to identify sectoral specialization in terms of economic cycle synchronization. We use dynamic measurement of comovement via lagged dynamic correlation and its variability. For the empirical evidence we use data of Visegrads countries, Germany and the euro area. The results are discussed in the context of Krugman specialization hypothesis. Our findings show higher specialization of countries which have significant comovements with high variability of dynamic correlation.

Keywords

specialization, concentration, dynamic correlation, concordance index, OCA, business cycle

RIV year

2014

Released

06.10.2014

Publisher

VŠE

Location

Praha

Pages from

371

Pages to

384

Pages count

14

URL

BibTex


@article{BUT102618,
  author="Jitka {Poměnková} and Svatopluk {Kapounek} and Roman {Maršálek}",
  title="Variability of dynamic correlation - the evidence of sectoral specialization in V4 countries",
  annote="We propose novel methodological approach to identify sectoral specialization in terms of economic cycle synchronization. We use dynamic measurement of comovement via lagged dynamic correlation and its variability. For the empirical evidence we use data of Visegrads countries, Germany and the euro area. The results are discussed in the context of Krugman specialization hypothesis. Our findings show higher specialization of countries which have significant comovements with high variability of dynamic correlation.",
  address="VŠE",
  chapter="102618",
  institution="VŠE",
  number="3",
  volume="2014",
  year="2014",
  month="october",
  pages="371--384",
  publisher="VŠE",
  type="journal article - other"
}