Detail publikace

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

Originální název

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

Anglický název

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

Jazyk

en

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

Anglický 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

Dokumenty

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
",
  annote="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",
  address="Ekonomický ústav SAV",
  chapter="163224",
  howpublished="print",
  institution="Ekonomický ústav SAV",
  number="3",
  volume="68",
  year="2020",
  month="march",
  pages="231--251",
  publisher="Ekonomický ústav SAV",
  type="journal article in Web of Science"
}