Measuring comovement in the time-frequency space
AbstractThe measurement of comovement among variables has a long tradition in the economic and financial literature. Traditionally, comovement is assessed in the time domain through the well-known correlation coefficient while the evolving properties are investigated either through a rolling window or by considering non-overlapping periods. More recently, Croux et al. [Review of Economics and Statistics 83 (2001)] have proposed a measure of comovement in the frequency domain. While it allows to quantify the comovement at the frequency level, such a measure disregards the fact that the strength of the comovement may vary over time. Herein, it is proposed a new measure of comovement resorting to wavelet analysis. This wavelet-based measure allows one to assess simultaneously the comovement at the frequency level and over time. In this way, it is possible to capture the time and frequency varying features of comovement within a unified framework which constitutes a refinement to previous approaches.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Macroeconomics.
Volume (Year): 32 (2010)
Issue (Month): 2 (June)
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Web page: http://www.elsevier.com/locate/inca/622617
Comovement Wavelets Time-frequency Growth cycles;
Other versions of this item:
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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