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A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach

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  • Essahbi Essaadi

    ()
    (ISCC of Bizerte, Univ of 7 November. UAQUAP-ISG Tunis-Tunisia & GATE-CNRS- Univ of Lyon-France)

  • Mohamed Boutahar

    ()
    (GREQAM-CNRS-Université de la Méditerranée. France)

Abstract

In this paper, we suggest a different dynamic measure of comovement which is unlike previous studies allowing to test instability in comovement between two non stationary economic time series. We use the frequency approach, which is based on evolutionary spectral analysis, to estimate the Time-Varying Coherence Function (TVCF). Then we test stability in both cross-spectra and TVCF by detecting endogenously various break points in each function. Applying this new methodology to the GDP growth rate of the US and UK, we get an interesting result about period of business cycle convergence and divergence for these economies.

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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 30 (2010)
Issue (Month): 2 ()
Pages: 1054-1070

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Handle: RePEc:ebl:ecbull:eb-09-00601

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Keywords: Comovement; Spectral Analysis; Time Varying Coherence Function; Structural Change;

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Cited by:
  1. Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion- Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers, Department of Research, Ipag Business School 2014-062, Department of Research, Ipag Business School.
  2. Ftiti, Zied, 2010. "The macroeconomic performance of the inflation targeting policy: An approach based on the evolutionary co-spectral analysis (extension for the case of a multivariate process)," Economic Modelling, Elsevier, Elsevier, vol. 27(1), pages 468-476, January.
  3. Linyue Li & Nan Zhang & Thomas D. Willett, 2012. "Measuring macroeconomic and financial market interdependence: a critical survey," Journal of Financial Economic Policy, Emerald Group Publishing, Emerald Group Publishing, vol. 4(2), pages 128-145, June.
  4. Allegret, Jean-Pierre & Essaadi, Essahbi, 2011. "Business cycles synchronization in East Asian economy: Evidences from time-varying coherence study," Economic Modelling, Elsevier, Elsevier, vol. 28(1-2), pages 351-365, January.

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