Modelling comovements amongst multiple economic variables takes up a relevant part
of the literature in time series econometrics. Comovement can be defined as “move together”,
that is as movement that several series have in common. The pattern of the series
could be of different nature, such as trend, cycles, seasonality, being the results of different
driving forces. As a results, series that comove share some common features. Common
trends, common cycles, common seasonality are terms that are often found in the
literature, different in scope but all aimed at modeling common behavior of the series.
However, modeling comovements is not only a statistical matter, since in many cases
common features are predicted by economic theory, resulting from the optimizing behavior
of economic agents