| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2326 |
| DP2326 Privacy, Time Consistent Optimal Labour Income Taxation and Education Policy | |
| Kai Konrad | |
| 发表日期 | 1999-12-17 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | 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 coherence and coherency. Dynamic correlation on a frquency band equals (static) correlation of band-pass filtered series. Moreover, long run correlation and cohesion relate in a simple way to cointegration. Cohesion is useful to study problems of business cycle synchronization, to investigate short-run and long-run dynamic properties of multiple time series, to identify dynamic clusters. We use state income data for the US and GDP data for European nations to provide an empirical illustration focused on the geographical aspects of business cycle fluctuations. |
| 主题 | International Macroeconomics |
| 关键词 | Business cycle Coherence Comovements Geography |
| URL | https://cepr.org/publications/dp2326 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531417 |
| 推荐引用方式 GB/T 7714 | Kai Konrad. DP2326 Privacy, Time Consistent Optimal Labour Income Taxation and Education Policy. 1999. |
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