IDEAS home Printed from https://ideas.repec.org/p/hal/journl/halshs-00566026.html

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

Author

Listed:
  • Mohamed Boutahar

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

  • Essahbi Essaadi

    (GATE Lyon Saint-Étienne - Groupe d'Analyse et de Théorie Economique Lyon - Saint-Etienne - ENS de Lyon - École normale supérieure de Lyon - Université de Lyon - UL2 - Université Lumière - Lyon 2 - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - UJM - Université Jean Monnet - Saint-Étienne - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this paper, we suggest a different dynamic measure of comovement which is unlike previous studies allowing to test instability in comovement between two non stationary economic time series. We use the frequency approach, which is based on evolutionary spectral analysis, to estimate the Time-Varying Coherence Function (TVCF). Then we test stability in both cross-spectra and TVCF by detecting endogenously various break points in each function. Applying this new methodology to the GDP growth rate of the US and UK, we get an interesting result about period of business cycle convergence and divergence for these economies.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Mohamed Boutahar & Essahbi Essaadi, 2010. "A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach," Post-Print halshs-00566026, HAL.
    • Handle: RePEc:hal:journl:halshs-00566026
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-62, Department of Research, Ipag Business School.
    2. Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2015. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis Versus Wavelet Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 575-611, December.
    3. Essahbi Essaadi, 2017. "The feasibility of currency union in Gulf Cooperation Council countries: A business cycle synchronisation view," The World Economy, Wiley Blackwell, vol. 40(10), pages 2153-2171, October.
    4. Ftiti, Zied, 2010. "The macroeconomic performance of the inflation targeting policy: An approach based on the evolutionary co-spectral analysis (extension for the case of a multivariate process)," Economic Modelling, Elsevier, vol. 27(1), pages 468-476, January.
    5. Creti, Anna & Ftiti, Zied & Guesmi, Khaled, 2014. "Oil price and financial markets: Multivariate dynamic frequency analysis," Energy Policy, Elsevier, vol. 73(C), pages 245-258.
    6. Yu, Yang & Guo, SongLin & Chang, XiaoChen, 2022. "Oil prices volatility and economic performance during COVID-19 and financial crises of 2007–2008," Resources Policy, Elsevier, vol. 75(C).
    7. Linyue Li & Nan Zhang & Thomas D. Willett, 2012. "Measuring macroeconomic and financial market interdependence: a critical survey," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 4(2), pages 128-145, May.
    8. Awatef Ourir & Elie Bouri & Essahbi Essaadi, 2023. "Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 197-231, January.
    9. Allegret, Jean-Pierre & Essaadi, Essahbi, 2011. "Business cycles synchronization in East Asian economy: Evidences from time-varying coherence study," Economic Modelling, Elsevier, vol. 28(1-2), pages 351-365, January.
    10. repec:ipg:wpaper:2014-062 is not listed on IDEAS

    More about this item

    Keywords

    ;
    ;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-00566026. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.