文章基本信息

标题：A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach
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作者：Essahbi Essaadi ; Mohamed Boutahar
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2010
卷号：30
期号：2
页码：1054-1070
出版社：Economics Bulletin
摘要：In this paper, we suggest a different dynamic measure of comovement which is unlike previous studies allowing to test instability in comovement between two non stationary economic time series. We use the frequency approach, which is based on evolutionary spectral analysis, to estimate the Time-Varying Coherence Function (TVCF). Then we test stability in both cross-spectra and TVCF by detecting endogenously various break points in each function. Applying this new methodology to the GDP growth rate of the US and UK, we get an interesting result about period of business cycle convergence and divergence for these economies.