Economic comovements in European countries

Abstract

This paper examines the existence of common movements in production, prices and interest rates in three countries: France, Germany and the United Kingdom. To analyse this issue, the usual approach of studying cross-correlations is extended by considering moving correlations and correlation matrices. The results indicate strong simultaneous comovements. However, though these European countries are closely linked to each other, the results obtained vary substantially over time, with the economic variables and in the countries under consideration.