Co-movement (Sub-)Indicator as the Measurement of the Synchrony of EA and Visegrad Group Countries

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26220%2F20%3APU135909" target="_blank" >RIV/00216305:26220/20:PU135909 - isvavai.cz</a>

Result on the web

<a href="https://www.sav.sk/index.php?lang=sk&doc=journal-list&part=article_response_page&journal_article_no=18231" target="_blank" >https://www.sav.sk/index.php?lang=sk&doc=journal-list&part=article_response_page&journal_article_no=18231</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Co-movement (Sub-)Indicator as the Measurement of the Synchrony of EA and Visegrad Group Countries

Original language description

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 Visegrád Group Countries with the same data type and time range

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

10103 - Statistics and probability

Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2020

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of Economics

ISSN

0013-3035

e-ISSN

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Volume of the periodical

68

Issue of the periodical within the volume

3

Country of publishing house

SK - SLOVAKIA

Number of pages

21

Pages from-to

231-251

UT code for WoS article

000523998400002

EID of the result in the Scopus database

2-s2.0-85085889609