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How hard is the euro are core? An evaluation of growth cycles using wavelet analysis

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Author Info
Crowley , Patrick () (College of Business, Texas A&M University)
Maraun , Douglas (Nonlinear Dynamics Group Physics Institute, University of Potsdam)
Mayes , David () (Monetary Policy and Research Department,)

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Abstract

Using recent advances in time-varying spectral methods, this research analyses the growth cycles of the core of the euro area in terms of frequency content and phasing of cycles. The methodology uses the con-tinuous wavelet transform (CWT) and also Hilbert wavelet pairs in the setting of a non-decimated discrete wavelet transform in order to analyse bivariate time series in terms of conventional frequency domain measures from spectral analysis. The findings are that coherence and phasing between the three core members of the euro area (France, Germany and Italy) have increased since the launch of the euro.

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Publisher Info
Paper provided by Bank of Finland in its series Research Discussion Papers with number 18/2006.

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Length: 46 pages
Date of creation: 27 Sep 2006
Date of revision:
Handle: RePEc:hhs:bofrdp:2006_018

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Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
Web page: http://www.bof.fi/en/tutkimus
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Related research
Keywords: time-varying spectral analysis; coherence; phase; business cycles; EMU; growth cycles; Hilbert trans-form; wavelet analysis;

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Find related papers by JEL classification:
C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Other
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C65 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Miscellaneous Mathematical Tools
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other
E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Artis, Michael J & Zhang, Wenda, 1999. "Further Evidence on the International Business Cycle and the ERM: Is There a European Business Cycle?," Oxford Economic Papers, Oxford University Press, vol. 51(1), pages 120-32, January.
  2. Zarnowitz, Victor, 1985. "Recent Work on Business Cycles in Historical Perspective: A Review of Theories and Evidence," Journal of Economic Literature, American Economic Association, vol. 23(2), pages 523-80, June. [Downloadable!] (restricted)
  3. Patrick Crowley, 2005. "An intuitive guide to wavelets for economists," Econometrics 0503017, EconWPA. [Downloadable!]
    Other versions:
  4. Artis, Michael J & Zhang, W, 1997. "International Business Cycles and the ERM: Is There a European Business Cycle?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(1), pages 1-16, January. [Downloadable!] (restricted)
    Other versions:
  5. Levy, Daniel & Dezhbakhsh, Hashem, 2003. "International evidence on output fluctuation and shock persistence," Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1499-1530, October. [Downloadable!] (restricted)
    Other versions:
  6. Daniel Levy & Hashem Dezhbakhsh, 2003. "On the typical spectral shape of an economic variable," Applied Economics Letters, Taylor and Francis Journals, vol. 10(7), pages 417-423, May. [Downloadable!] (restricted)
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  7. Andrew Hughes Hallett, Christian R Richter, 2001. "Spectral Analysis as a Tool for Financial Policy: An Analysis of the Short-End of the British Term Structure," Computing in Economics and Finance 2001 127, Society for Computational Economics.
    Other versions:
  8. Collard, Fabrice, 1998. "Spectral and persistence properties of cyclical growth," Journal of Economic Dynamics and Control, Elsevier, vol. 23(3), pages 463-488, November. [Downloadable!] (restricted)
  9. Victor Zarnowitz, 1985. "Recent Work on Business Cycles in Historical Perspective: Review of Theories and Evidence," NBER Working Papers 1503, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Gonzalo Camba-Mendez & George Kapetanios, 2001. "Spectral based methods to identify common trends and common cycles," Working Paper Series 062, European Central Bank. [Downloadable!]
  11. Kontolemis, Zenon G, 1997. "Does Growth Vary over the Business Cycle? Some Evidence from the G7 Countries," Economica, London School of Economics and Political Science, vol. 64(255), pages 441-60, August. [Downloadable!] (restricted)
  12. repec:bep:sndecm:7:2003:4:1183-1183 is not listed on IDEAS
  13. Crowley , Patrick & Lee , Jim, 2005. "Decomposing the co-movement of the business cycle: a time-frequency analysis of growth cycles in the euro area," Research Discussion Papers 12/2005, Bank of Finland. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Michael Artis & Toshihiro Okubo, 2008. "Globalization and Business Cycle Transmission," Discussion Paper Series 232, Research Institute for Economics & Business Administration, Kobe University. [Downloadable!]
    Other versions:
  2. Jokivuolle , Esa & Peura , Samu, 2006. "Rating targeting and the confidence levels implicit in bank capital," Research Discussion Papers 27/2006, Bank of Finland. [Downloadable!]
  3. Ravenna , Federico & Seppälä , Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland. [Downloadable!]
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