Change search
ReferencesLink to record
Permanent link

Direct link
Are they Swinging Together?: A Measure of Linear Comovement with an Application to Swedish and Foreign Business Cycles
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
1993 (English)Report (Other academic)
Abstract [en]

A frequency band specific measure of the degree of linear comovement that does not need any assumptions about the structure of the dependence except linearity is defined. The distribution of the measure is simulated using Monte Carlo methods. The sensitivity of the distributions to the characteristics of the underlying processes is substantially reduced if low frequencies, for example the Hodrick-Prescott filter, may be dominated by the behavior at low frequencies. Explicit treatment of different frequency bands may then be preferable. The measure of linear comovement is applied to Swedish and foreign macro time series spanning the period 1861 to 1988. A substantial degree of comovement between Swedish consumption related variables and foreign GDP is found while Swedish GDP and manufacturing production is clearly less covariant with foreign GDP.

Place, publisher, year, edition, pages
Stockholm: IIES , 1993. , 43 p.
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 531
National Category
URN: urn:nbn:se:su:diva-41849OAI: diva2:337973
Available from: 2010-08-10 Created: 2010-08-10 Last updated: 2010-08-10Bibliographically approved

Open Access in DiVA

fulltext(6327 kB)139 downloads
File information
File name FULLTEXT01.pdfFile size 6327 kBChecksum SHA-512
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Hassler, John
By organisation
Institute for International Economic Studies

Search outside of DiVA

GoogleGoogle Scholar
Total: 139 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 27 hits
ReferencesLink to record
Permanent link

Direct link