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The Decomposition of Economic Relationships by Time Scale Using Wavelets

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Author Info
Ramsey, J.B.
Lampart, C.
Abstract

This paper uses wavelets to produce an orthogonal decomposition of some economic variables by time scale over six different time scales. The relationships of interest are the permanent income hypothesis and velocity.

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File URL: http://econ.as.nyu.edu/docs/IO/9382/RR97-08.PDF
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Publisher Info
Paper provided by C.V. Starr Center for Applied Economics, New York University in its series Working Papers with number 97-08.

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Length: 61 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:cvs:starer:97-08

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Postal: C.V. Starr Center, Department of Economics, New York University, 19 W. 4th Street, 6th Floor, New York, NY 10012
Phone: (212) 998-8936
Fax: (212) 995-3932
Web page: http://econ.as.nyu.edu/object/econ.cvstarr.html
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Postal: C.V. Starr Center, Department of Economics, New York University, 19 W. 4th Street, 6th Floor, New York, NY 10012
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Keywords: ECONOMETRICS;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation
E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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  3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
  4. Cooley, Thomas F & LeRoy, Stephen F, 1981. "Identification and Estimation of Money Demand," American Economic Review, American Economic Association, vol. 71(5), pages 825-44, December. [Downloadable!] (restricted)
  5. Jensen, Mark J., 2000. "An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 361-387, March. [Downloadable!] (restricted)
    Other versions:
  6. Friedman, Benjamin M. & Kuttner, Kenneth N., 1993. "Another look at the evidence on money-income causality," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 189-203. [Downloadable!] (restricted)
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  7. Michael J. Dueker, 1993. "Can nominal GDP targeting rules stabilize the economy?," Review, Federal Reserve Bank of St. Louis, issue May, pages 15-29. [Downloadable!]
  8. Campbell, John Y & Mankiw, N Gregory, 1990. "Permanent Income, Current Income, and Consumption," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(3), pages 265-79, July.
    Other versions:
  9. William A. Barnett & Haiyang Xu, 1998. "Money Velocity with Interest Rate Stochastic Volatility and Exact Aggregation," Macroeconomics 9803004, EconWPA. [Downloadable!]
  10. Spencer, David E, 1989. "Does Money Matter? The Robustness of Evidence from Vector Autoregressions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(4), pages 442-54, November. [Downloadable!] (restricted)
  11. Michael J. Dueker, 1995. "Narrow vs. broad measures of money as intermediate targets: some forecast results," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 41-51. [Downloadable!]
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  13. Christiano, Lawrence J & Eichenbaum, Martin & Marshall, David, 1991. "The Permanent Income Hypothesis Revisited," Econometrica, Econometric Society, vol. 59(2), pages 397-423, March. [Downloadable!] (restricted)
    Other versions:
  14. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September. [Downloadable!] (restricted)
  15. Boyle, Glenn W, 1990. "Money Demand and the Stock Market in a General Equilibrium Model with Variable Velocity," Journal of Political Economy, University of Chicago Press, vol. 98(5), pages 1039-53, October. [Downloadable!] (restricted)
  16. Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February. [Downloadable!] (restricted)
    Other versions:
  17. Raj, B., 1995. "The Institutional Hypothesis of the Long-Run Income Velocity of Money and Parameter Stability of the Equilibrium Relationship," Working Papers 95001, Wilfrid Laurier University, Department of Economics.
  18. Quah, Danny, 1990. "Permanent and Transitory Movements in Labor Income: An Explanation for "Excess Smoothness" in Consumption," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 449-75, June. [Downloadable!] (restricted)
    Other versions:
  19. Charles R. Nelson, 1987. "A Reappraisal of Recent Tests of the Permanent Income Hypothesis," NBER Working Papers 1687, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  20. Serletis, Apostolos, 1995. "Random Walks, Breaking Trend Functions, and the Chaotic Structure of the Velocity of Money," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(4), pages 453-58, October.
  21. Raj, Baldev, 1995. "Institutional Hypothesis of the Long-Run Income Velocity of Money and Parameter Stability of the Equilibrium Relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(3), pages 233-53, July-Sept. [Downloadable!] (restricted)
  22. Molana, H, 1991. "The Time Series Consumption Function: Error Correction, Random Walk and the Steady-State," Economic Journal, Royal Economic Society, vol. 101(406), pages 382-403, May. [Downloadable!] (restricted)
  23. Stephen M. Goldfeld, 1976. "The Case of the Missing Money," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 7(1976-3), pages 683-740. [Downloadable!]
  24. Artis, Michael J & Bladen-Hovell, Robin & Nachane, Dilip M, 1992. "Instability of the Velocity of Money: A New Approach Based on the Evolutionary Spectrum," CEPR Discussion Papers 735, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  25. McCallum, Bennett T., 1984. "On low-frequency estimates of long-run relationships in macroeconomics," Journal of Monetary Economics, Elsevier, vol. 14(1), pages 3-14, July. [Downloadable!] (restricted)
    Other versions:
  26. Greenblatt, Seth A, 1998. "Atomic Decomposition of Financial Data," Computational Economics, Springer, vol. 12(3), pages 275-93, December. [Downloadable!]
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