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Spurious synchronization of business cycles: Dynamic correlation analysis of V4 countries

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  • Svatopluk Kapounek

    ()
    (Department of Finance, Faculty of Business and Economics, Mendel University in Brno)

  • Jitka Pomenkova

    ()
    (Department of Radio Electronics, Faculty of Electrical Engineering and Communication, Brno University of Technology)

Abstract

The purpose of our paper is to define rules for decision of existence spurious synchronization of countries within the currency area. We devote this new methodological approach from an empirical research based on the variability of a dynamic correlation (correlation in frequency domain). We analyze the dynamic correlation in full range and in the business cycle frequencies as well. We also consider lags in economic activity co-movements. Contrary to the standard approach we show its insufficiency especially in case of time domain instruments. For this goal GDP values in quarters of the four Visegrad countries and the Eurozone in the period 1997/Q1-2011/Q1 are used

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Bibliographic Info

Paper provided by Mendel University in Brno, Faculty of Business and Economics in its series MENDELU Working Papers in Business and Economics with number 2012-22.

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Length: 16
Date of creation: Jun 2012
Date of revision:
Handle: RePEc:men:wpaper:22_2012

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Keywords: OCA theory; monetary policy efficiency; co-movements; Hamming window;

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  1. Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2011. "The world is not enough! Small open economies and regional dependence," Working Paper 2011/16, Norges Bank.
  2. Zsolt Darvas & György Szapáry, 2008. "Business Cycle Synchronization in the Enlarged EU," Open Economies Review, Springer, vol. 19(1), pages 1-19, February.
  3. Siem Jan Koopman & Jo�o Valle E Azevedo, 2008. "Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(1), pages 23-51, 02.
  4. Alessandra Iacobucci & Alain Noullez, 2005. "A Frequency Selective Filter for Short-Length Time Series," Computational Economics, Society for Computational Economics, vol. 25(1), pages 75-102, February.
  5. Todd E. Clark & Kwanho Shin, 1998. "The sources of fluctuations within and across countries," Research Working Paper 98-04, Federal Reserve Bank of Kansas City.
  6. Mongelli, Francesco Paolo, 2002. ""New" views on the optimum currency area theory: what is EMU telling us?," Working Paper Series 0138, European Central Bank.
  7. Don Harding & Adrian Pagan, 2006. "Measurement of Business Cycles," Department of Economics - Working Papers Series 966, The University of Melbourne.
  8. Alessandra Iacobucci, 2003. "Spectral Analysis for Economic Time Series," Documents de Travail de l'OFCE 2003-07, Observatoire Francais des Conjonctures Economiques (OFCE).
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