IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Cohesion within the euro area and the U. S.: a wavelet-based view

Author Info

  • António Rua
  • Artur Silva Lopes

Abstract

The assessment of synchronization of macroeconomic fluctuations across countries or regions has been crucial, for example, for the debate on economic integration. In this paper, we propose a multivariate measure of synchronization to assess cohesion across countries or regions by resorting to wavelet analysis. This wavelet-based measure of cohesion allows one to assess how synchronization has evolved over time and across frequencies simultaneously. In particular, we investigate the cohesion among euro area countries and the cohesion within the U.S. both at the regional and state levels over the last decades. In addition, an analysis at the sectoral level is also conducted. The results obtained unveil a noteworthy heterogeneity and highlight the usefulness of a wavelet-based measure of cohesion.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201204.pdf
Download Restriction: no

Paper provided by Banco de Portugal, Economics and Research Department in its series Working Papers with number w201204.

as
in new window

Length:
Date of creation: 2012
Date of revision:
Handle: RePEc:ptu:wpaper:w201204
Contact details of provider: Postal: R. do Ouro, 27, 1100 LISBOA
Phone: 21 321 32 00
Fax: 21 346 48 43
Web page: http://www.bportugal.ptEmail:


More information through EDIRC

Keywords:

Find related papers by JEL classification:

  • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
  • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, vol. 132(2), pages 363-378, June.
  2. António Rua & Luís Catela Nunes, 2003. "Coincident and Leading Indicators for the Euro Area: A Frequency Band Approach," Working Papers w200307, Banco de Portugal, Economics and Research Department.
  3. Maximo Camacho & Gabriel Perez-Quiros, 2004. "Are European business cycles close enough to be just one?," Computing in Economics and Finance 2004 16, Society for Computational Economics.
  4. Mauro Gallegati & Antonio Palestrini & Milena Petrini, 2008. "Cyclical Behavior Of Prices In The G7 Countries Through Wavelet Analysis," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 119-130.
  5. Patrick M. Crowley & David G. Mayes, 2008. "How fused is the euro area core?: An evaluation of growth cycle co-movement and synchronization using wavelet analysis," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2008(1), pages 63-95.
  6. repec:ebl:ecbull:v:5:y:2002:i:4:p:1-9 is not listed on IDEAS
  7. Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists ," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, 04.
  8. Jakob de Haan & Robert Inklaar & Richard Jong-A-Pin, 2008. "Will Business Cycles In The Euro Area Converge? A Critical Survey Of Empirical Research," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 234-273, 04.
  9. Kalemli-Ozcan, Sebnem & Sorensen, Bent E. & Yosha, Oved, 2001. "Economic integration, industrial specialization, and the asymmetry of macroeconomic fluctuations," Journal of International Economics, Elsevier, vol. 55(1), pages 107-137, October.
  10. Carlino, Gerald A. & DeFina, Robert H., 2004. "How strong is co-movement in employment over the business cycle? Evidence from state/sector data," Journal of Urban Economics, Elsevier, vol. 55(2), pages 298-315, March.
  11. Pakko, Michael R., 2004. "A spectral analysis of the cross-country consumption correlation puzzle," Economics Letters, Elsevier, vol. 84(3), pages 341-347, September.
  12. Eickmeier, Sandra & Breitung, Jorg, 2006. "How synchronized are new EU member states with the euro area? Evidence from a structural factor model," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 538-563, September.
  13. Rua, António & Nunes, Luís C., 2009. "International comovement of stock market returns: A wavelet analysis," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 632-639, September.
  14. Yogo, Motohiro, 2008. "Measuring business cycles: A wavelet analysis of economic time series," Economics Letters, Elsevier, vol. 100(2), pages 208-212, August.
  15. Fabien Tripier, 2002. "The Dynamic Correlation Between Growth and Unemployment," Economics Bulletin, , vol. 5(4), pages 1-9.
Full references (including those not matched with items on IDEAS)

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

as in new window


Cited by:

  1. António Rua, 2012. "Wavelets in economics," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Access and download statistics

When requesting a correction, please mention this item's handle: RePEc:ptu:wpaper:w201204. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (DEE-NTDD)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.