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Variability of Dynamic Correlation - The Evidence of Sector-Specific Shocks in V4 Countries

Listed author(s):
  • Jitka Poměnková
  • Svatopluk Kapounek
  • Roman Maršálek

We focus on changes in dynamic correlation during the recent fi nancial crisis. The results show different responses to this symmetric shock in V4 countries. We discuss possible specialization if the dynamic correlation increases only at certain of the frequencies. Especially, in case of the Czech Republic where the variability of dynamic correlation in business cycle frequencies increased in relation to the euro area, whereas decreased in relation to Germany. Consequently, we point out to the limitations of a correlation and concordance index as common indicators of business cycle synchronization in time domain.

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Article provided by University of Economics, Prague in its journal Prague Economic Papers.

Volume (Year): 2014 (2014)
Issue (Month): 3 ()
Pages: 371-387

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Handle: RePEc:prg:jnlpep:v:2014:y:2014:i:3:id:489:p:371-387
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