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

Listed author(s):
  • Essahbi Essaadi

    (GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique)

  • Mohamed Boutahar

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - ECM - Ecole Centrale de Marseille - AMU - Aix Marseille Université - EHESS - École des hautes études en sciences sociales - Université Paul Cézanne - Aix-Marseille 3 - Université de la Méditerranée - Aix-Marseille 2 - CNRS - Centre National de la Recherche Scientifique)

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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File URL: https://halshs.archives-ouvertes.fr/halshs-00550460/document
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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
Publication status: Published in Economics Bulletin, Economics Bulletin, 2008, 30 (2), pp. 1054-1070
Handle: RePEc:hal:journl:halshs-00550460
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00550460
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