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Global Linkages across Sectors and Frequency Bands: A Band Spectral Panel Regression Approach

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  • Jingjing Lyu
  • Bernd Süssmuth

Abstract

We introduce the technique of band spectral panel regression (BSPR) to analyze global linkages across sectors and frequency bands. It relies on decomposing time series —allowably measured in mixed observation frequency— into “deviation cycle” dynamics by frequency band. We use it to compute measures of real co-movement, trade linkage, financial market integration, and policy coordination band by band. Considering intra-industry as well as inter-industry linkage indicators, it is applied to data of contemporary China and its 20 major trading partners in the pre-trade war and pre-pandemic era. Band-specific fixed effects and band-industry-specific interaction terms are included. For labor intensive industries co-movement through intra-industry trade linkages is found to be band-specific. Moreover, our results clarify the puzzle of financial globalization implying real regionalization or contagious synchronization of cyclical dynamics. We find the latter to hold in the 4–6 years band and the former in the 6–10 years range.

Suggested Citation

  • Jingjing Lyu & Bernd Süssmuth, 2024. "Global Linkages across Sectors and Frequency Bands: A Band Spectral Panel Regression Approach," CESifo Working Paper Series 10970, CESifo.
    • Handle: RePEc:ces:ceswps:_10970
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    More about this item

    Keywords

    spectral regression; frequency domain; cyclical co-movement; sectors;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General

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