Search results for "comovement"
showing 3 items of 3 documents
MACROECONOMIC SYNCHRONIZATION BETWEEN G3 COUNTRIES
2002
This paper studies the existence of a world business cycle by examining quarterly and annual comovements in production, prices, and interest rates in the three main world economies: Germany, Japan and the U.S. In accordance with earlier studies, contemporaneous relationships clearly dominate short-term dynamics. The evidence indicates that, in the last four decades, these comovements are clearly significant in all the variables, with the possible exception of short-term interest rates, and they are stronger for long-term interest rates; nevertheless, they are rather unstable over time. Este artículo estudia la existencia de un ciclo económico mundial mediante elexamen de movimientos comunes…
ECONOMIC COMOVEMENTS IN EUROPEAN COUNTRIES
2005
This paper examines the existence of common movements in production, prices and interest rates in three countries: France, Germany and the United Kingdom. To analyse this issue, the usual approach of studying cross-correlations is extended. Though these European countries are closely linked to each other, the results obtained vary substantially over time, with the economic variables and in the countries under consideration. Este trabajo examina la existencia de movimientos comunes en la producción, en los precios y en los tipos de interés en tres países: Francia, Alemania y el Reino Unido. Para analizar este tema, se extiende el enfoque habitual del estudio de las correlaciones cruzadas. A …
Timescale-dependent stock market comovement: BRICs vs. developed markets
2014
This paper examines the differences in the asset return comovement of the BRIC countries (Brazil, Russia, India and China), the other developed economies in their regions (Canada, Hong Kong and Australia) and the major industrialized economies (the U.K., Germany and Japan) with respect to the U.S. for different return periods. The novelty of the paper is that the stock return indices are decomposed to several timescales using wavelet analysis and that the results are further used as inputs for the dynamic conditional correlation (DCC) framework, which is used as a measure of comovement. The results propose that the level of stock market comovement depends on regional aspects, the level of d…