We introduce the technique of band spectral panel regression (BSPR) to analyze global linkages across sectors and frequency bands. It relies on decomposing time series —allowably measured in mixed observation frequency— into “deviation cycle” dynamics by frequency band. We use it to...

This study investigates the stock price-economic activity nexus in 12 member countries of the Organization for Economic Cooperation and Development (OECD) by employing monthly data over the period 1981:1-2018:3. For this purpose, the study uses Granger causality in the frequency domain in the...