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

  • Andrew Hughes Hallett

    ()

  • Christian R. Richter

    ()

In this paper, we show how to derive the spectra and cross-spectra of economic time series from an underlying econometric or VAR model. This allows us to conduct a proper frequency analysis evaluation of economic and financial variables on a reduced sample of data, without it being ruled out by the 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 use our techniques to show how the behaviour of British interest rates changed during and following the ERM crisis of 1992/3.

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Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 23 (2004)
Issue (Month): 3 (04)
Pages: 271-288

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Handle: RePEc:kap:compec:v:23:y:2004:i:3:p:271-288
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