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A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach

  • Essahbi Essaadi

    (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines)

  • Mohamed Boutahar

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université de la Méditerranée - Aix-Marseille II - Université Paul Cézanne - Aix-Marseille III - Ecole des Hautes Etudes en Sciences Sociales (EHESS) - CNRS : UMR6579)

In this paper, we test the instability of comovement, in time and frequency domain, for the GDP growth rate of the US and the UK. We use the frequency approach, which is based on evolutionary spectral analysis (Priestley, 1965-1996). The graphical analysis of the Time-Varying Coherence Function (TVCF) reports the existence of variability in correlation between the two series. Our goal is to estimate first the TVCF of the two series, then to test stability in both the cross-spectra density and in TVCF by detecting various breakpoints in each function.

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Paper provided by HAL in its series Post-Print with number halshs-00550460.

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Date of creation: 2008
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Publication status: Published, Economics Bulletin, 2008, 30, 2, pp. 1054-1070
Handle: RePEc:hal:journl:halshs-00550460
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00550460/en/
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