A1636
Title: Macroeconomics with a thick pen
Authors: Marc Gronwald - International Business School Suzhou (China) [presenting]
Abstract: The co-movement of macroeconomic time series is measured using two Thick Pen methods: the Thick Pen Measure of Association (TPMA) as well as Multi-Thickness Thick Pen Measure of Association (MTTPMA). Analysed are, first, US long- and short-term interest rates, and, second, growth rates of per capita GDP and consumption. The key findings are: first, while the co-movement of the long-term features of the two interest rates is found to be very high, their short-term features are not only related to a much lower extent; in certain periods, these are even found to be out of sync. What is more, the degree of co-movement of the long-term features considerably declined in recent years. Second, the co-movement of both the long-term and short-term features of GDP and consumption growth rates is not only generally higher, but it also fluctuates considerably less over time.