Detail publikace

A wavelet-based approach to filter out symmetric macroeconomic shocks

Originální název

A wavelet-based approach to filter out symmetric macroeconomic shocks

Anglický název

A wavelet-based approach to filter out symmetric macroeconomic shocks

Jazyk

en

Originální abstrakt

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.

Anglický abstrakt

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.

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"
}