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CO-MOVEMENT (SUB-) INDICATOR AS THE MEASUREMENT OF THE SYNCHRONY OF EA AND VISEGRAD GROUP COUNTRIES

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Poměnková J., Klejmová E., Malach T.
Ekonomický časopis (Journal of Economics)
|
2020
|
vol. 68
|
issue 3
231 – 251
EN
The paper deals with the construction of a co-movement indicator suitable for assessing the synchrony between countries. The indicator is represented as a time series and its construction is based on a reconstruction of a co-spectrum measure from the time-frequency to the time domain. We use the statistically significant part of the power wavelet co-spectrum for pairs of countries. An advantage of the newly proposed co-movement indicator is a possibility to construct sub-indicators which correspond to the predefined frequency range, e.g. business cycle frequencies. In such a way we can obtain a decomposition of the co-movement indicator (covering all frequencies) into, for example, short-run cycles, medium and long business cycles and long-run cycles. The proposed methodology is demonstrated on the US and EA monthly data of industrial production index in 1991 – 2018. A further application is performed on the EA and Visegrad Group Countries with the same data type and time range.
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