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A new approach to causality in the frequency domain

Author

Listed:
  • Mehmet Dalkir

    () (University of Kansas)

Abstract

This study refers to the earlier work of analysis in the frequency domain. A different definition of causality is made, and its implications to the general idea of causality are discussed. The causality relationship between two monetary aggregates, simple sum and Divisia indices, and their relation with the personal income is analyzed using wavelet time-scale decomposition.

Suggested Citation

  • Mehmet Dalkir, 2004. "A new approach to causality in the frequency domain," Economics Bulletin, AccessEcon, vol. 3(44), pages 1-14.
  • Handle: RePEc:ebl:ecbull:eb-04c40008
    as

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    File URL: http://www.accessecon.com/pubs/EB/2004/Volume3/EB-04C40008A.pdf
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    Citations

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    Cited by:

    1. Benhmad, François, 2013. "Dynamic cyclical comovements between oil prices and US GDP: A wavelet perspective," Energy Policy, Elsevier, vol. 57(C), pages 141-151.
    2. Cifter, Atilla & Ozun, Alper, 2007. "Multi-scale Causality between Energy Consumption and GNP in Emerging Markets: Evidence from Turkey," MPRA Paper 2483, University Library of Munich, Germany.
    3. Crowley, Patrick M., 2005. "An intuitive guide to wavelets for economists," Research Discussion Papers 1/2005, Bank of Finland.
    4. Atilla Cifter & Alper Ozun, 2008. "Multiscale Systematic Risk: an Application on the ISE-30," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 10(38), pages 1-24.
    5. Foued Saâdaoui, 2013. "The Price and Trading Volume Dynamics Relationship in the EEX Power Market: A Wavelet Modeling," Computational Economics, Springer;Society for Computational Economics, vol. 42(1), pages 47-69, June.
    6. Cifter Atilla & Ozun Alper, 2008. "Estimating the Effects of Interest Rates on Share Prices in Turkey Using a Multi-Scale Causality Test," Review of Middle East Economics and Finance, De Gruyter, vol. 4(2), pages 68-79, April.
    7. Tiwari, Aviral Kumar, 2012. "Decomposing Time-Frequency Relationship between Interest Rates and Share Prices in India through Wavelets," MPRA Paper 39693, University Library of Munich, Germany.
    8. Alzahrani, Mohammed & Masih, Mansur & Al-Titi, Omar, 2014. "Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 175-201.
    9. Cifter, Atilla & Ozun, Alper, 2007. "Multiscale Systematic Risk: An Application on ISE-30," MPRA Paper 2484, University Library of Munich, Germany.
    10. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
    11. Mala Raghavan & Jonathan Dark & Elizabeth Ann Maharaj, 2010. "Impact of capital control measures on the Malaysian stock market: A multiresolution analysis," International Journal of Managerial Finance, Emerald Group Publishing, vol. 6(2), pages 116-127, April.
    12. repec:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1245-2 is not listed on IDEAS

    More about this item

    Keywords

    aggregation theory;

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C0 - Mathematical and Quantitative Methods - - General

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