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

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Author Info
Essahbi Essaadi (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines)
Mohamed Boutahar (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université de la Méditerranée - Aix-Marseille II - Université Paul Cézanne - Aix-Marseille III - Ecole des Hautes Etudes en Sciences Sociales - CNRS : UMR6579)

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Abstract

In this paper, we test the instability of comovement, in time and frequency domain, for the GDP growth rate of the US and the UK. We use the frequency approach, which is based on evolutionary spectral analysis (Priestley, 1965-1996). The graphical analysis of the Time-Varying Coherence Function (TVCF) reports the existence of variability in correlation between the two series. Our goal is to estimate first the TVCF of the two series, then to test stability in both the cross-spectra density and in TVCF by detecting various breakpoints in each function.

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Paper provided by HAL in its series Post-Print with number halshs-00333582_v1.

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Date of creation: 2008
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Related research
Keywords: comovement ; spectral analysis ; time-varying coherence function ; structural change;

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  7. Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-85, March. [Downloadable!] (restricted)
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  10. J. Jouini & M. Boutahar, 2003. "Structural breaks in the U.S. inflation process: a further investigation," Applied Economics Letters, Taylor and Francis Journals, vol. 10(15), pages 985-988, December. [Downloadable!] (restricted)
  11. Mohamed Safouane Ben Aïssa & Mohamed Boutahar & Jamel Jouini, 2004. "Bai and Perron's and spectral density methods for structural change detection in the US inflation process," Applied Economics Letters, Taylor and Francis Journals, vol. 11(2), pages 109-115, February. [Downloadable!] (restricted)
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  15. Andrew Hughes Hallett & Christian R Richter, 2002. "Are Capital Markets Efficient? Evidence from the Term Structure of Interest Rates in Europe," Computing in Economics and Finance 2002 3, Society for Computational Economics.
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