A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach

Essahbi Essaadi (1) , Mohamed Boutahar (2)

1 GATE - Groupe d'analyse et de théorie économique
2 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille

In this paper, we test the instability of comovement, in time and frequency domain, for the GDP growth rate of the US and the UK. We use the frequency approach, which is based on evolutionary spectral analysis (Priestley, 1965-1996). The graphical analysis of the Time-Varying Coherence Function (TVCF) reports the existence of variability in correlation between the two series. Our goal is to estimate first the TVCF of the two series, then to test stability in both the cross-spectra density and in TVCF by detecting various breakpoints in each function.

Mots clés: comovement; spectral analysis; time-varying coherence function; structural change

Domaines: Economies et finances

Essahbi Essaadi, Mohamed Boutahar. A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach. 2008. ⟨halshs-00333582⟩