A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach
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2008
- handle: 10670/1.jwant0
- halshs: halshs-00550460
info:eu-repo/semantics/OpenAccess
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GDP Domestic product, Gross Hours (Time) Papers Funds Funding Finance, commerce, confiscations, etc Methods of analysis Analysis and chemistry Analytical methods Chemical analysis Analysis methods Analysis and examinationCiter ce document
Essahbi Essaadi et al., « A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach », HAL-SHS : économie et finance, ID : 10670/1.jwant0
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In this paper, we test the instability of comovement, in time and frequency domain, for the GDP growth rate of the US and the UK. We use the frequency approach, which is based on evolutionary spectral analysis (Priestley, 1965-1996). The graphical analysis of the Time-Varying Coherence Function (TVCF) reports the existence of variability in correlation between the two series. Our goal is to estimate first the TVCF of the two series, then to test stability in both the cross-spectra density and in TVCF by detecting various breakpoints in each function.