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

Author

Listed:
  • Jitka Poměnková
  • Svatopluk Kapounek
  • Roman Maršálek

Abstract

We focus on changes in dynamic correlation during the recent financial 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.

Suggested Citation

  • Jitka Poměnková & Svatopluk Kapounek & Roman Maršálek, 2014. "Variability of Dynamic Correlation - The Evidence of Sector-Specific Shocks in V4 Countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2014(3), pages 371-387.
    • Handle: RePEc:prg:jnlpep:v:2014:y:2014:i:3:id:489:p:371-387
    DOI: 10.18267/j.pep.489
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    Cited by:

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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F15 - International Economics - - Trade - - - Economic Integration

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