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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 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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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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