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Synchronization analysis between exchange rates on the basis of purchasing power parity using the Hilbert transform

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  • Muto, Makoto
  • Saiki, Yoshitaka

Abstract

Synchronization is a phenomenon in which a pair of fluctuations adjusts their rhythms when interacting with each other. We measure the degree of synchronization between the U.S. dollar (USD) and euro exchange rates and between the USD and Japanese yen exchange rates based on purchasing power parity (PPP) over time. We employ a method of synchronization analysis using the Hilbert transform and find that the degree of synchronization is high most of the time, which suggests the establishment of PPP. The degree of synchronization does not remain high across periods with asymmetric economic events such as the U.S. real estate bubble.

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  • Muto, Makoto & Saiki, Yoshitaka, 2024. "Synchronization analysis between exchange rates on the basis of purchasing power parity using the Hilbert transform," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001165
    DOI: 10.1016/j.najef.2024.102191
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    Cited by:

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    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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