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| Essahbi Essaadi and Mohamed Boutahar |
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| ''A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach'' |
| ( 2010, Vol. 30 No.2 ) |
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| 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. |
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| Keywords: Comovement, Spectral Analysis, Time Varying Coherence Function, Structural Change |
JEL: C1 - Econometric and Statistical Methods: General
E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) |
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| Manuscript Received : Oct 06 2009 | | Manuscript Accepted : Apr 22 2010 |
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