In this paper we use a New Keynesian model to explain why volatility transfer from high frequency to low frequency cycles can and did occur during the period commonly referred to as the "great moderation". The model suggests that an increase in inflation aversion and/or a reduction to a...

Understanding the relationship between national income GDP components is an essential part of macroeconomics. This study investigates quarterly real GDP component data for the U.S. and the U.K. and applies continuous wavelet analysis on cross comparisons of the data, from both within and between...

In this paper the relationship between the growth of real GDP components is explored in the frequency domain using both static and dynamic wavelet analysis. This analysis is carried out separately for the US and UK using quarterly data, and the results are found to be substantially different for...