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Measuring the Correlation of Shocks between the UK and the Core of Europe

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  • Stehpen Hall

Abstract

This paper considers the question of the symmetry of inflation and GDP shocks between the UK and the three major European EMU countries. It applies a relatively new technique, the orthogonal GARCH model, which allows us to calculate a complete time varying correlation matrix for these four countries. We can then examine the way the conditional correlation of shocks between the UK and the other European countries ahs been evolving over time. Our overall results are that the shocks, which hit the UK, are now broadly symmetrical with France and Italy but that German seems to exhibit very low correlation with any of the other three countries.

Suggested Citation

  • Stehpen Hall, 2003. "Measuring the Correlation of Shocks between the UK and the Core of Europe," National Institute of Economic and Social Research (NIESR) Discussion Papers 213, National Institute of Economic and Social Research.
    • Handle: RePEc:nsr:niesrd:213
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    Cited by:

    1. Paulo M.M. Rodrigues & Raul Filipe C. Guerreiro & Jorge M. L. G. Andraz, 2011. "A comparison of the cyclical evolution of various geographic areas of reference with Portugal," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.

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