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Spurious synchronization of business cycles - Dynamic correlation analysis of V4 countries

Author

Listed:
  • Svatopluk Kapounek

    (Ústav financí, Mendelova univerzita v Brně, Zemědělská 1, 613 00 Brno, Česká republika)

  • Jitka Poměnková

    (Ústav radioelektroniky, Vysoké učení technické v Brně, Purkyňova 118, 612 00 Brno, Česká republika)

Abstract

The purpose of our paper is to define rules for decision of existence spurious synchronization of countries within the currency area. We devote this new methodological approach from an empirical research based on the variability of a dynamic correlation (correlation in frequency domain). We analyze the dynamic correlation in full range and in the business cycle frequencies as well. We also consider lags in economic activity co-movements. Contrary to the standard approach we show its insufficiency especially in case of time domain instruments. For this goal GDP values in quarters of the four Visegrad countries and the Eurozone in the period 1997/Q1-2011/Q1 are used.

Suggested Citation

  • Svatopluk Kapounek & Jitka Poměnková, 2012. "Spurious synchronization of business cycles - Dynamic correlation analysis of V4 countries," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 60(4), pages 181-188.
    • Handle: RePEc:mup:actaun:actaun_2012060040181
    DOI: 10.11118/actaun201260040181
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    More about this item

    Keywords

    OCA theory; monetary policy efficiency; co-movements; Hamming window;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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