This paper examines business cycle characteristics of Mediterranean countries using a set of macroeconomic aggregates (GDP and demand components, money, and prices) for fifteen Mediterranean countries over the 1960-2000 period. We analyze the main properties of business cycle fluctuations...

The large decline in output volatility experienced by most industrialized countries in the last decades has been thoroughly analyzed using standard time and frequency domain methods. In this paper we investigate the issue of moderation of volatility in G-7 economies and its sources, applying a...

We present new evidence on the uncertain nature of nonstationarity – that is, trend stationarity vs. difference stationarity – of aggregate per capita real output, by submitting to a composite testing procedure a 20-country sample over an historically relevant time span. We find that the...

Aggregate demand models extending IS/LM fixed price framework yield an enhancement mechanism of the traditional monetary transmission mechanism, credit channel, which, according to the credit view, works through the balance sheet channel and the bank lending channel. In this paper I modify the...

Aggregate demand models extending IS/LM fixed price framework yield an enhancement mechanism of the traditional monetary transmission mechanism, the credit channel, which, according to the credit view, works through the 'balance sheet channel' and the 'bank lending channel'. In this paper the...

A wavelet-based approach to test whether contagion occurred during the US subprime crisis of 2007 is proposed. After separately identifying contagion and interdependence through wavelet decomposition of the original returns series, the presence of contagion is assessed using a simple graphical...

The application of wavelet analysis provides an orthogonal decomposition of a time series by time scale, thereby facilitating the decomposition of a data series into the sum of a structural component and a random error component. The structural components revealed by the wavelet analysis yield...

This paper uses the structural change model and wavelet exploratory analysis to re-examine Tobin's q theory of investment. There are two main results. First, wavelet exploratory analysis provides a useful complementary approach to standard confirmatory statistical analysis. Specifically, using...

The information content of several interest rate spreads for future output growth is analyzed using wavelet analysis. The “scale-by-scale” regression analysis shows that standard indicators of the stance of monetary policy, such as the shape of the yield curve, the real federal funds rate,...