Spurious synchronization of business cycles: Dynamic correlation analysis of V4 countries
AbstractThe 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 InfoPaper 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.
Date of creation: Jun 2012
Date of revision:
OCA theory; monetary policy efficiency; co-movements; Hamming window;
Find related papers by JEL classification:
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
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