Are they Swinging Together?: A Measure of Linear Comovement with an Application to Swedish and Foreign Business Cycles
1993 (English)Report (Other academic)
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
IdentifiersURN: urn:nbn:se:su:diva-41849OAI: oai:DiVA.org:su-41849DiVA: diva2:337973