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The Decomposition of Economic Relationships by Time Scale Using Wavelets

Author

Listed:
  • 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.

Suggested Citation

  • Ramsey, J.B. & Lampart, C., 1997. "The Decomposition of Economic Relationships by Time Scale Using Wavelets," Working Papers 97-08, C.V. Starr Center for Applied Economics, New York University.
    • Handle: RePEc:cvs:starer:97-08
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    Citations

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    Cited by:

    1. Werner Kristjanpoller R. & Alejandro Sierra C., 2014. "Relationship between the dollar, the price of copper and the IPSA indifferent time scales: An approach through Wavelet," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 17(3), pages 56-85, December.
    2. repec:zbw:bofrdp:2010_006 is not listed on IDEAS
    3. repec:zbw:bofrdp:2015_012 is not listed on IDEAS
    4. repec:bof:bofrdp:urn:nbn:fi:bof-201508131350 is not listed on IDEAS
    5. Buerhan Saiti, 2017. "The Lead-Lag Relationship among East Asian Economies: A Wavelet Analysis," International Business Research, Canadian Center of Science and Education, vol. 10(3), pages 57-68, March.
    6. Crowley, Patrick M., 2010. "Long cycles in growth : explorations using new frequency domain techniques with US data," Research Discussion Papers 6/2010, Bank of Finland.
    7. Crowley, Patrick M., 2010. "Long cycles in growth: explorations using new frequency domain techniques with US data," Bank of Finland Research Discussion Papers 6/2010, Bank of Finland.
    8. Crowley, Patrick M. & Hudgins, David, 2015. "Euro area monetary and fiscal policy tracking design in the time-frequency domain," Bank of Finland Research Discussion Papers 12/2015, Bank of Finland.
    9. repec:zbw:bofrdp:urn:nbn:fi:bof-201508131350 is not listed on IDEAS
    10. Crowley, Patrick M. & Hudgins, David, 2015. "Euro area monetary and fiscal policy tracking design in the time-frequency domain," Research Discussion Papers 12/2015, Bank of Finland.

    More about this item

    Keywords

    ECONOMETRICS;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E21 - Macroeconomics and Monetary Economics - - 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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