Measuring the Correlation of Shocks between the UK and the Core of Europe
AbstractThis paper considers the question of the symmetry of inflation and GDP shocks between the UK and the three major European EMU countries. It applies a relatively new technique, the orthogonal GARCH model, which allows us to calculate a complete time varying correlation matrix for these four countries. We can then examine the way the conditional correlation of shocks between the UK and the other European countries ahs been evolving over time. Our overall results are that the shocks, which hit the UK, are now broadly symmetrical with France and Italy but that German seems to exhibit very low correlation with any of the other three countries.
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Bibliographic InfoPaper provided by National Institute of Economic and Social Research in its series NIESR Discussion Papers with number 213.
Date of creation: Apr 2003
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Other versions of this item:
- Hall, S.G. & Yhap, B., 2008. "Measuring the Correlation of Shocks Between the UK and the Core of Europe," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(1), pages 17-26, March.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-05-15 (All new papers)
- NEP-EEC-2003-05-15 (European Economics)
- NEP-IFN-2003-05-15 (International Finance)
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