The publication of a projected path of future policy decisions by central banks is a controversially debated method to improve monetary policy guidance. This paper suggests a new approach to evaluate the impact of the guidance strategy on the predictability of monetary policy. Using the example...

In this paper, we have applied spectral and cross spectral analysis techniques as an alternative approach to characterize the Tunisian business cycle and measure the degree of its international synchronization. As a robustness check, we have applied these techniques to the industrial production...

We propose a general framework for measuring frequency dynamics of connectedness in economic variables based on spectral representation of variance decompositions. We argue that the frequency dynamics is insightful when studying the connectedness of variables as shocks with heterogeneous...

In many important textbooks the formal statement of the Spectral RepresentationTheorem is followed by a process version, usually informal, stating thatany stationary stochastic process g is the limit in quadratic mean of asequence of processes, each consisting of a finite sum of...

The work makes two contributions to the literature on dynamic house prices. First, a house price ripple in cycles from Modern to Older dwellings is revealed and, second, as New housing is shown to have lower volatility than the other two. Using spectral analysis, it is argued that there is a 7...

We document the consequences of ambiguity in the empirical definition of the macroeconomic labor share. Depending on its definition, the properties of short-run fluctuations, medium-run swings, and long-run stochastic trends of the labor share may vary substantially. Based on a range of...

We introduce a methodology to characterise financial cycles combining a novel multivariate spectral approach to identifying common cycle frequencies across a set of indicators, and a time varying aggregation emphasising systemic developments. The methodology is applied to 13 European Union...

Failing to account for joint dynamics of credit and asset prices can be hazardous for countercyclical macroprudential policy. We show that composite financial cycles, emphasising expansions and contractions common to credit and asset prices, powerfully predict systemic banking crises. Further,...

In a classic article, Granger (Econometrica 34, 1966) asserted that most economic time series measured in level have spectra that exhibit a smooth declining shape with considerable power at very low frequencies. There has been no systematic attempt to examine Granger's assertion with...

Existence of a cointegration relationship between two time series in the time domain imposes restrictions on the series zero‐frequency behaviour in terms of their squared coherence, phase and gain, in the frequency domain. I derive these restrictions by studying cross‐spectral properties of...