Acta Univ. Agric. Silvic. Mendelianae Brun. 2012, 60(4), 181-188 | DOI: 10.11118/actaun201260040181

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

Svatopluk Kapounek1, Jitka Poměnková2
1 Ústav financí, Mendelova univerzita v Brně, Zemědělská 1, 613 00 Brno, Česká republika
2 Ústav radioelektroniky, Vysoké učení technické v Brně, Purkyňova 118, 612 00 Brno, Česká republika

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.

Keywords: OCA theory, monetary policy efficiency, co-movements, Hamming window
Grants and funding:

The results introduced in the paper are supported by the Czech Science Foundation via grant No. P402/11/0570 with the title "Time-frequency approach for the Czech Republic business cycle datting" and by the project CZ.1.07/2.3.00/20.0007 WICOMT of the operational program Education for competitiveness.

Received: February 29, 2012; Published: August 7, 2013  Show citation

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Kapounek, S., & Poměnková, J. (2012). Spurious synchronization of business cycles - Dynamic correlation analysis of V4 countries. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 60(4), 181-188. doi: 10.11118/actaun201260040181
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