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The Evolution of Industry Comovement in Korea: A Wavelet Analysis (in Korean)

Author

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  • Sunoong Hwang

    (Economic Survey and Forecasting Division, Korea Institute for Industrial Economics and Trade)

Abstract

This paper uses the wavelet correlation analysis to investigate the evolution of comovement across 27 Korean industries during 1970:Q1~2011:Q4. (1) After peaking at its highest level during the 1997~98 financial crisis, the average degree of industry comovement has remained at a slightly higher level in recent years than before the crisis. (2) A similar pattern has emerged for the comovement between industries within the same group. (3) By contrast, the comovement has significantly weakened for most pairs of more aggregated groups of industries. The exception is that the comovement between service and construction has strengthened, especially between finance and construction.

Suggested Citation

  • Sunoong Hwang, 2013. "The Evolution of Industry Comovement in Korea: A Wavelet Analysis (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 19(1), pages 1-41, March.
    • Handle: RePEc:bok:journl:v:19:y:2013:i:1:p:1-41
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    More about this item

    Keywords

    Business Cycles; Industry Comovement; Wavelet Analysis; Manufacturing; Services; Exports;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • L6 - Industrial Organization - - Industry Studies: Manufacturing
    • L8 - Industrial Organization - - Industry Studies: Services

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