Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87302
Authors: 
Blasques, Francisco
Year of Publication: 
2013
Series/Report no.: 
Tinbergen Institute Discussion Paper 13-054/III
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.
Subjects: 
nonparametric
phase-dependence
time-varying correlation
JEL: 
C01
C14
C32
Document Type: 
Working Paper

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