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

• Authors: Poměnková Jitka , Klejmová Eva , Malach Tobiáš
• Languages of publication: EN

Abstracts

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.

Keywords

EN

CO-MOVEMENT INDICATOR; CO-SPECTRUM; GLOBALISATION; VISEGRAD GROUP; EA

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2020
• Volume: 68
• Issue: 3
• Pages: 231 – 251

Contributors

author

Poměnková Jitka

• Brno University of Technology, Faculty of Electrical Engineering and Communication, Technická 12, 616 00 Brno, Czech Republic

author

Klejmová Eva

author

Malach Tobiáš