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Spectral Analysis as a Tool for Financial Policy: An Analysis of the Short-End of the British Term Structure

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  • Andrew Hughes Hallett, Christian R Richter

Abstract

In this paper, we show how to derive the spectra and cross-spectra of economic times series from an underlying econometric or VAR model. This allows us to conduct a proper frequency analysis of economic and financial variables on a reduced sample of data, without it being ruled out by large sample requirements of direct spectral estimation. We show, in particular, how this can be done for time-varying models and time-varying spectra. We apply our techniques to the behaviour of British interest rates during and following the ERM crisis of 1992/3.

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Bibliographic Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2001 with number 127.

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Date of creation: 01 Apr 2001
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Handle: RePEc:sce:scecf1:127

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Web page: http://www.econometricsociety.org/conference/SCE2001/SCE2001.html
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Related research

Keywords: Interest Rates; Time Dependent Spectral Analysis; Behavioural Finance; Learning; Monetary Policy;

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Cited by:
  1. Essahbi Essaadi & Mohamed Boutahar, 2008. "A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach," Post-Print halshs-00333582, HAL.
  2. Mario Cunha & Christian Richter, 2010. "Modelling the Cyclical Behaviour of Wine Production in the Douro Region Using a Time-Varying Parameters Approach," Working Papers 2010.1, International Network for Economic Research - INFER.
  3. Andrew Hughes Hallett & Christian Richter, 2011. "Trans-Pacific Economic Relations and US-China Business Cycles : Convergence within Asia versus US Economic Leadership," Development Economics Working Papers 23244, East Asian Bureau of Economic Research.
  4. Patrick Crowley, 2005. "An intuitive guide to wavelets for economists," Econometrics 0503017, EconWPA.
  5. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
  6. Andrew Hallett & Christian Richter, 2006. "Measuring the Degree of Convergence among European Business Cycles," Computational Economics, Society for Computational Economics, vol. 27(2), pages 229-259, May.
  7. Crowley , Patrick & Maraun , Douglas & Mayes , David, 2006. "How hard is the euro are core? An evaluation of growth cycles using wavelet analysis," Research Discussion Papers 18/2006, Bank of Finland.
  8. Andrew Hughes Hallett & Christian Richter, 2006. "Is the convergence of business cycles a global or regional issue? The UK, US and Euroland," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 177-194.

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