Abstract

Using a Pesaran-Timmermann test of co-movement, Cook and Watson (2015) suggest they have highlighted the ‘ripple’ effect. Using reference series of the UK, London, Scotland, and three deterministic-periodic series, regional prices are shown to have similar cyclical characteristics, with delays based on distance from London. With periodicities consistent with those revealed by spectral analysis, the deterministic-periodic series reference provides a means of establishing cyclical characteristics whilst avoiding issues concerning variable amplitudes. Although a ripple is revealed, using London as a reference poses problems, empirically: its cycle is likely to be atypical as well as asynchronised.