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| Author: | Croux, C. Forni, M. Reichlin, L. |
| Title: | A measure of comovement for economic variables: Theory and empirics |
| Journal: | Review of Economics and Statistics
2001 : MAY, VOL. 83:2, p. 232-241 |
| Index terms: | MEASUREMENT ECONOMICS CLUSTER ANALYSIS |
| Language: | eng |
| Abstract: | This paper proposes a measure of dynamic comovement between (possibly many) time series and names it cohesion. The measure is defined in the frequency domain and is appropriate for processes that are costationary, possibly after suitable transformations. In the bivariate case, the measure reduces to dynamic correlation and is related, but not equal, to the well known quantities of coherence and coherency. Dynamic correlation on a frequency band equals (static) correlation of bandpass-filtered series. Moreover, long-run correlation and cohesion relate in a simple way to co-integration. Cohesion is useful to study problems of business-cycle synchronization, to investigate short-run and long-run dynamic properties of multiple time series, and to identify dynamic clusters. |
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