Variability of dynamic correlation - the evidence of sector-specific shocks in V4 countries

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F14%3A00224567" target="_blank" >RIV/62156489:43110/14:00224567 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Variability of dynamic correlation - the evidence of sector-specific shocks in V4 countries

Original language description

We focus on changes in dynamic correlation during the recent financial crisis. The results show different responses to this symmetric shock in V4 countries. We discuss possible specialization if the dynamic correlation increases only at certain of the frequencies. Especially, in the case of Czech Republic where the variability of dynamic correlation in business cycle frequencies increased in relation with the euro area, whereas decreased in relation with Germany. Consequently, we point out limitations of correlation and concordance index as common indicators of business cycle synchronization in time domain.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/GAP402%2F11%2F0570" target="_blank" >GAP402/11/0570: Time-frequency approach for the Czech Republic business cycle dating</a><br>

Continuities

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

Publication year

2014

Confidentiality

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

Name of the periodical

Prague Economic Papers

ISSN

1210-0455

e-ISSN

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Volume of the periodical

23

Issue of the periodical within the volume

3

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

17

Pages from-to

371-387

UT code for WoS article

343271700006

EID of the result in the Scopus database

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