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Cohesion within the euro area and the U. S.: a wavelet-based view

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  • António Rua
  • Artur Silva Lopes

Abstract

The assessment of synchronization of macroeconomic fluctuations across countries or regions has been crucial, for example, for the debate on economic integration. In this paper, we propose a multivariate measure of synchronization to assess cohesion across countries or regions by resorting to wavelet analysis. This wavelet-based measure of cohesion allows one to assess how synchronization has evolved over time and across frequencies simultaneously. In particular, we investigate the cohesion among euro area countries and the cohesion within the U.S. both at the regional and state levels over the last decades. In addition, an analysis at the sectoral level is also conducted. The results obtained unveil a noteworthy heterogeneity and highlight the usefulness of a wavelet-based measure of cohesion.

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Paper provided by Banco de Portugal, Economics and Research Department in its series Working Papers with number w201204.

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Date of creation: 2012
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Handle: RePEc:ptu:wpaper:w201204

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  1. Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists ," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, 04.
  2. Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2004. "Are european business cycles close enough to be just one?," Banco de Espa�a Working Papers 0408, Banco de Espa�a.
  3. Jakob de Haan & Robert Inklaar & Richard Jong-A-Pin, 2008. "Will Business Cycles In The Euro Area Converge? A Critical Survey Of Empirical Research," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 234-273, 04.
  4. Pakko, Michael R., 2004. "A spectral analysis of the cross-country consumption correlation puzzle," Economics Letters, Elsevier, vol. 84(3), pages 341-347, September.
  5. Patrick M. Crowley & David G. Mayes, 2008. "How fused is the euro area core?: An evaluation of growth cycle co-movement and synchronization using wavelet analysis," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2008(1), pages 63-95.
  6. Mauro Gallegati & Antonio Palestrini & Milena Petrini, 2008. "Cyclical Behavior Of Prices In The G7 Countries Through Wavelet Analysis," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 119-130.
  7. Fabien Tripier, 2002. "The Dynamic Correlation Between Growth and Unemployment," Economics Bulletin, AccessEcon, vol. 5(4), pages 1-9.
  8. António Rua & Luís Catela Nunes, 2009. "International comovement of stock market returns: a wavelet analysis," Working Papers w200904, Banco de Portugal, Economics and Research Department.
  9. Eickmeier, Sandra & Breitung, Jorg, 2006. "How synchronized are new EU member states with the euro area? Evidence from a structural factor model," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 538-563, September.
  10. repec:ebl:ecbull:v:5:y:2002:i:4:p:1-9 is not listed on IDEAS
  11. Kalemli-Ozcan, Sebnem & Sorensen, Bent E. & Yosha, Oved, 2001. "Economic integration, industrial specialization, and the asymmetry of macroeconomic fluctuations," Journal of International Economics, Elsevier, vol. 55(1), pages 107-137, October.
  12. António Rua & Luís Catela Nunes, 2003. "Coincident and Leading Indicators for the Euro Area: A Frequency Band Approach," Working Papers w200307, Banco de Portugal, Economics and Research Department.
  13. Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, vol. 132(2), pages 363-378, June.
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Cited by:
  1. António Rua, 2012. "Wavelets in economics," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.

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