How hard is the euro are core? An evaluation of growth cycles using wavelet analysis
AbstractUsing 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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Bibliographic InfoPaper provided by Bank of Finland in its series Research Discussion Papers with number 18/2006.
Length: 46 pages
Date of creation: 27 Sep 2006
Date of revision:
time-varying spectral analysis; coherence; phase; business cycles; EMU; growth cycles; Hilbert trans-form; wavelet analysis;
Find related papers by JEL classification:
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-21 (All new papers)
- NEP-CBA-2006-10-21 (Central Banking)
- NEP-EEC-2006-10-21 (European Economics)
- NEP-ETS-2006-10-21 (Econometric Time Series)
- NEP-MAC-2006-10-21 (Macroeconomics)
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