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Comovement of Exchange Rates : A Wavelet Analysis

Andries, Alin Marius - 2015

are encountered when conventional pair wise wavelet correlation and cross correlation are used to assess the comovement in …In this paper we employ the wavelet multiple correlation and the wavelet multiple cross-correlation to investigate the …

Persistent link: https://www.econbiz.de/10013035510

Multivariate fractional components analysis

Hartl, Tobias; Weigand, Roland - 2019

Persistent link: https://www.econbiz.de/10011962831

Economic cycles and their synchronization : a survey of spectral properties

Sella, L.; Vivaldo, G.; Groth, A.; Ghil, Michael - 2013

The present work applies several advanced spectral methods to the analysis of macroeconomic fluctuations in three countries of the European Union: Italy, The Netherlands, and the United Kingdom. We focus here in particular on singular-spectrum analysis (SSA), which provides valuable spatial and...

Persistent link: https://www.econbiz.de/10010225969

Decomposing the Co-Movement of the Business Cycle : A Time-Frequency Analysis of Growth Cycles in the Euro Area

Crowley, Patrick M. - 2006

decomposition (MRD) with the use of maximal overlap discrete wavelet transforms (MODWT). Static wavelet variance and correlation … analysis is performed, and phasing is studied using co-correlation with the euro area by scale. Lastly dynamic conditional … correlation GARCH models are used to obtain dynamic correlation estimates by scale against the EU to evaluate synchronicity of …

Persistent link: https://www.econbiz.de/10012734874

Estimating a time-varying distribution-led regime

Carrillo-Maldonado, Paul; Nikiforos, Michalis - 2022

This paper estimates the distribution-led regime of the US economy for the period 1947-2019. We use a time varying parameter model, which allows for changes in the regime over time. To the best of our knowledge this is the first paper that has attempted to do this. This innovation is important,...

Persistent link: https://www.econbiz.de/10012814160

The ENSO cycle and forecastability of global inflation and output growth : evidence from standard and mixed-frequency multivariate singular spectrum analyses

Hassani, Hossein; Yeganegi, Mohammad Reza; Gupta, Rangan - 2021

Persistent link: https://www.econbiz.de/10012661146

Tracking growth and the business cycle : a stochastic common cycle model for the Euro area

Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Persistent link: https://www.econbiz.de/10011334364

Estimating a time-varying distribution-led regime

Carrillo-Maldonado, Paul; Nikiforos, Michalis - In: Structural change and economic dynamics 68 (2024), pp. 163-176

Persistent link: https://www.econbiz.de/10014495200

Measuring the natural rate of interest after COVID-19

Holston, Kathryn; Laubach, Thomas; Williams, John C. - 2023

We modify the Laubach-Williams and Holston-Laubach-Williams models of the natural rate of interest to account for time-varying volatility and a persistent COVID supply shock during the pandemic. Resulting estimates of the natural rate of interest in the United States, Canada, and the Euro Area...

Persistent link: https://www.econbiz.de/10014302828

Measuring the natural rate of interest in Brazil

Maka, Alexis - 2023

Persistent link: https://www.econbiz.de/10014428785