Heathcote, Jonathan (contributor); … - 2003 - [Elektronische Ressource]
the rest of the world (P
RW
,R
RW
).
9
9
Real exchange rates and stock prices are logged and HP filtered. Stock returns … the appendix.
5
Table I. International correlations
3
Y
US
,Y
RW
C
US
,C
RW
X
US
,X
RW
L
US
,L
RW
Period I, 72.1-86.2
0 … procedures
Y
US
,Y
RW
C
US
,C
RW
X
US
,X
RW
L
US
,L
RW
First differencing
72.1-86.2
86.3-00.4
0.51
0.13
0.37
0.15
0.50
0.01
0.40
0 …