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

Author

Listed:
  • Svatopluk Kapounek

    (Department of Finance, Faculty of Business and Economics, Mendel University in Brno)

  • Jitka Pomenkova

    (Department of Radio Electronics, Faculty of Electrical Engineering and Communication, Brno University of Technology)

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 Pomenkova, 2012. "Spurious synchronization of business cycles: Dynamic correlation analysis of V4 countries," MENDELU Working Papers in Business and Economics 2012-22, Mendel University in Brno, Faculty of Business and Economics.
    • Handle: RePEc:men:wpaper:22_2012
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    References listed on IDEAS

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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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