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Cohesion within the euro area and the U. S.: a wavelet-based view

Autores 
Artur Silva Lopes
Ano de Divulgação 
2012
Código JEL 
C40 - General
E32 - Business Fluctuations; Cycles
Resumo 
The assessment of synchronization of macroeconomic fluctuations across countries or regions has been crucial, for example, for the debate on economic integration. In this paper, we propose a multivariate measure of synchronization to assess cohesion across countries or regions by resorting to wavelet analysis. This wavelet-based measure of cohesion allows one to assess how synchronization has evolved over time and across frequencies simultaneously. In particular, we investigate the cohesion among euro area countries and the cohesion within the U.S. both at the regional and state levels over the last decades. In addition, an analysis at the sectoral level is also conducted. The results obtained unveil a noteworthy heterogeneity and highlight the usefulness of a wavelet-based measure of cohesion.
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