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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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Author Info
Andrew Hughes Hallett, Christian R Richter

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

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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
C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates

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  1. 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. [Downloadable!]
  2. 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. [Downloadable!]
  3. Patrick Crowley, 2005. "An intuitive guide to wavelets for economists," Econometrics 0503017, EconWPA. [Downloadable!]
    Other versions:
  4. Essahbi Essaadi & Mohamed Boutahar, 2008. "A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach," Post-Print halshs-00333582_v1, HAL. [Downloadable!]
  5. Andrew Hallett & Christian Richter, 2006. "Measuring the Degree of Convergence among European Business Cycles," Computational Economics, Springer, vol. 27(2), pages 229-259, May. [Downloadable!] (restricted)
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