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Financial and Trade Integration of Selected EU Regions: Dynamic Correlation and Wavelet Approach

Author

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  • Zuzana Kucerova

    () (Department of Economic Policy, Faculty of Economics, VSÌŒB-Technical University of Ostrava)

  • Jitka Pomenkova

    () (Department of Finance, Faculty of Business and Economics, Mendel University in Brno)

Abstract

We evaluate the relation between financial and trade integration in new (formerly central-planned economies) and old (developed) EU countries. Classical and moving correlation shows the strong relation in the pre-crisis period. Dynamic correlation confirms strong relation for long and business cycle frequencies. Specification via wavelet cospectrum reveals that the long frequencies are correlated in 2000-09, business cycle frequencies in 1993-94, 2003-04 and middle frequencies generally in 2008-2010. The process of financial integration was stronger in the old EU member countries, the process of trade integration in the new member countries. The progress was smaller in financial compared to the trade integration. Classification-JEL: E44, F15, F21, F36, G15, C23, C36

Suggested Citation

  • Zuzana Kucerova & Jitka Pomenkova, 2014. "Financial and Trade Integration of Selected EU Regions: Dynamic Correlation and Wavelet Approach," MENDELU Working Papers in Business and Economics 2014-45, Mendel University in Brno, Faculty of Business and Economics.
  • Handle: RePEc:men:wpaper:45_2014
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    References listed on IDEAS

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    More about this item

    Keywords

    financial integration; foreign trade; international financial markets; correlation analysis; wavelet cospectrum;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F15 - International Economics - - Trade - - - Economic Integration
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation

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