Publication detail

A wavelet-based approach to filter out symmetric macroeconomic shocks

MARŠÁLEK, R. POMĚNKOVÁ, J. KAPOUNEK, S.

Original Title

A wavelet-based approach to filter out symmetric macroeconomic shocks

English Title

A wavelet-based approach to filter out symmetric macroeconomic shocks

Type

journal article in Web of Science

Language

en

Original Abstract

We propose a novel method for econometric time series analysis. This method acts as the comovement-selective filter and is useful to filter out the cycles that are caused by an global event present in the reference time series. We demonstrate its applicability on removing symmetric macroeconomic shock caused by recent financial crisis from the business cycle of the euro area according to the comovement with the United States. The application allowing to identify the country specific business cycles in the Visegrad countries data using the comovement with Germany is also presented. The method is based on the continuous wavelet transform, its inverse and the comovement measurement in the time-frequency domain. Its application also enables to uncover detailed development of the business cycle synchronization in time.

English abstract

We propose a novel method for econometric time series analysis. This method acts as the comovement-selective filter and is useful to filter out the cycles that are caused by an global event present in the reference time series. We demonstrate its applicability on removing symmetric macroeconomic shock caused by recent financial crisis from the business cycle of the euro area according to the comovement with the United States. The application allowing to identify the country specific business cycles in the Visegrad countries data using the comovement with Germany is also presented. The method is based on the continuous wavelet transform, its inverse and the comovement measurement in the time-frequency domain. Its application also enables to uncover detailed development of the business cycle synchronization in time.

Keywords

wavelet transform, flters, comovement, macroeconomic shocks

RIV year

2014

Released

01.12.2014

Publisher

Springer

Location

New York, USA

Pages from

477

Pages to

488

Pages count

12

BibTex


@article{BUT102602,
  author="Roman {Maršálek} and Jitka {Poměnková} and Svatopluk {Kapounek}",
  title="A wavelet-based approach to filter out symmetric macroeconomic shocks",
  annote="We propose a novel method for econometric time series analysis. This method acts as the comovement-selective filter and is useful to filter out the cycles that are caused by
an global event present in the reference time series. We demonstrate its applicability on removing symmetric macroeconomic shock caused by recent financial crisis from
the business cycle of the euro area according to the comovement with the United States. The application allowing to identify the country specific business cycles in the
Visegrad countries data using the comovement with Germany is also presented. The method is based on the continuous wavelet transform, its inverse and the comovement
measurement in the time-frequency domain. Its application also enables to uncover detailed development of the business cycle synchronization in time.",
  address="Springer",
  chapter="102602",
  doi="10.1007/s10614-013-9403-x",
  institution="Springer",
  number="4",
  volume="2014 (44)",
  year="2014",
  month="december",
  pages="477--488",
  publisher="Springer",
  type="journal article in Web of Science"
}