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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

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

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

Journal of Economics

ISSN

0013-3035

e-ISSN

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Svazek periodika

68

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

SK - Slovenská republika

Počet stran výsledku

21

Strana od-do

231-251

Kód UT WoS článku

000523998400002

EID výsledku v databázi Scopus

2-s2.0-85085889609