Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2013-04-04
Number: 13-054/III
Author-Name: Francisco Blasques
Author-Workplace-Name: VU University Amsterdam
Title: On the Phase Dependence in Time-Varying Correlations Between Time-Series
Abstract: This paper proposes the use of a double correlation coefficient as a nonpara- metric measure of phase-dependence in time-varying correlations. An asymp- totically Gaussian test statistic for the null hypothesis of no phase-dependence is derived from the proposed measure. Finite-sample distributions, power and size are analyzed in a Monte-Carlo exercise. An application of this test provides evidence that correlation strength between major macroeconomic aggregates is both time-varying and phase dependent in the business cycle.
Classification-JEL: C01, C14, C32
Keywords: nonparametric, phase-dependence, time-varying correlation
File-Url: https://papers.tinbergen.nl/13054.pdf
File-Format: application/pdf
File-Size: 711515 bytes
Handle: RePEc:tin:wpaper:20130054