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Measuring business cycles: A wavelet analysis of economic time series

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Cited by:

  1. Lubos Hanus & Lukas Vacha, 2015. "Business cycle synchronization of the Visegrad Four and the European Union," Working Papers IES 2015/19, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2015.
  2. Kožić, Ivan & Sever, Ivan, 2014. "Measuring business cycles: Empirical Mode Decomposition of economic time series," Economics Letters, Elsevier, vol. 123(3), pages 287-290.
  3. Lubos Hanus & Lukas Vacha, 2015. "Business cycle synchronization within the European Union: A wavelet cohesion approach," Papers 1506.03106, arXiv.org, revised Feb 2016.
  4. Crowley, Patrick M., 2010. "Long cycles in growth : explorations using new frequency domain techniques with US data," Research Discussion Papers 6/2010, Bank of Finland.
  5. Benhmad, François, 2013. "Dynamic cyclical comovements between oil prices and US GDP: A wavelet perspective," Energy Policy, Elsevier, vol. 57(C), pages 141-151.
  6. Michis, Antonis A., 2014. "Time scale evaluation of economic forecasts," Economics Letters, Elsevier, vol. 123(3), pages 279-281.
  7. Crowley, Patrick M., 2010. "Long cycles in growth: explorations using new frequency domain techniques with US data," Bank of Finland Research Discussion Papers 6/2010, Bank of Finland.
  8. Cifter, Atilla & Yilmazer, Sait & Cifter, Elif, 2009. "Analysis of sectoral credit default cycle dependency with wavelet networks: Evidence from Turkey," Economic Modelling, Elsevier, vol. 26(6), pages 1382-1388, November.
  9. de Carvalho, Miguel & Rodrigues, Paulo C. & Rua, António, 2012. "Tracking the US business cycle with a singular spectrum analysis," Economics Letters, Elsevier, vol. 114(1), pages 32-35.
  10. Tiwari, Aviral Kumar & Mukherjee, Zinnia & Gupta, Rangan & Balcilar, Mehmet, 2019. "A wavelet analysis of the relationship between oil and natural gas prices," Resources Policy, Elsevier, vol. 60(C), pages 118-124.
  11. Rua, António, 2010. "Measuring comovement in the time-frequency space," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 685-691, June.
  12. Gazi Salah Uddin & Aviral Kumar Tiwari, 2013. "Measuring co-movement of oil price and exchange rate differential in Bangladesh," Economics Bulletin, AccessEcon, vol. 33(3), pages 1922-1930.
  13. Jitka Pomenkova & Eva Klejmova & Zuzana Kucerova, 2019. "Cyclicality in lending activity of Euro area in pre- and post- 2008 crisis: a local-adaptive-based testing of wavelets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 19(1), pages 155-175.
  14. Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Revue économique, Presses de Sciences-Po, vol. 62(3), pages 441-450.
  15. S. AL Wadi & Ghassan Obeidat, 2018. "Detecting the Fluctuations in Large Samples Using Wavelet Transform," Modern Applied Science, Canadian Center of Science and Education, vol. 12(12), pages 245-245, December.
  16. Nigatu, Getachew & Adjemian, Michael K., 2016. "The U.S. Role in the Price Determination of Major Agricultural Commodities," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236045, Agricultural and Applied Economics Association.
  17. Rémi Odry & Roman Mestre, 2021. "Monetary Policy and Business Cycle Synchronization in Europe," EconomiX Working Papers 2021-19, University of Paris Nanterre, EconomiX.
  18. Huang, Yuting & Li, Qiang & Liow, Kim Hiang & Zhou, Xiaoxia, 2020. "Is Housing the Business Cycle? A Multiresolution Analysis for OECD Countries," Journal of Housing Economics, Elsevier, vol. 49(C).
  19. Yoshito Funashima, 2018. "Macroeconomic policy coordination between Japanese central and local governments," Empirical Economics, Springer, vol. 54(4), pages 1631-1651, June.
  20. Reboredo, Juan C. & Rivera-Castro, Miguel A., 2014. "Wavelet-based evidence of the impact of oil prices on stock returns," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 145-176.
  21. Xiao Jing Cai & Zheng Fang & Youngho Chang & Shuairu Tian & Shigeyuki Hamori, 2020. "Co-movements in commodity markets and implications in diversification benefits," Empirical Economics, Springer, vol. 58(2), pages 393-425, February.
  22. Lu Han & Ruihuan Ge, 2017. "Wavelets Analysis on Structural Model for Default Prediction," Computational Economics, Springer;Society for Computational Economics, vol. 50(1), pages 111-140, June.
  23. Chentong Sun & Naiqian Li, 2023. "Extracting business cycles with three filters: A comparative study and application in the case of China," Bulletin of Economic Research, Wiley Blackwell, vol. 75(2), pages 254-269, April.
  24. Funashima, Yoshito, 2014. "Macroeconomic policy coordination between Japanese central and local governments," MPRA Paper 59821, University Library of Munich, Germany.
  25. Haniff, Norazza Mohd & Masih, Mansur, 2016. "Shariah stocks as an inflation hedge in Malaysia," MPRA Paper 71681, University Library of Munich, Germany.
  26. António Rua, 2011. "A wavelet approach for factor‐augmented forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(7), pages 666-678, November.
  27. Muhammad Nadim Hanif & Javaid Iqbal & Syed Hamza Ali & Muhammad Abdus Salam, 2020. "Denoised Inflation: A New Measure of Core Inflation," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 131-154.
  28. Bruzda, Joanna, 2011. "Some aspects of the discrete wavelet analysis of bivariate spectra for business cycle synchronisation," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 5, pages 1-46.
  29. Crowley, Patrick M. & Hughes Hallett, Andrew, 2015. "Great moderation or “Will o’ the Wisp”? A time–frequency decomposition of GDP for the US and UK," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 82-97.
  30. António Rua & Artur Silva Lopes, 2015. "Cohesion within the euro area and the US: A wavelet-based view," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2014(2), pages 63-76.
  31. Luís Aguiar-Conraria & Maria Joana Soares, 2014. "The Continuous Wavelet Transform: Moving Beyond Uni- And Bivariate Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 28(2), pages 344-375, April.
  32. Stelios Bekiros & Jose Arreola Hernandez & Gazi Salah Uddin & Ahmed Taneem Muzaffar, 2020. "On the predictability of crude oil market: A hybrid multiscale wavelet approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(4), pages 599-614, July.
  33. Sun, Xiaolei & Chen, Xiuwen & Wang, Jun & Li, Jianping, 2020. "Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  34. Ibrahim Ahamada & Philippe Jolivaldt, 2010. "Classical vs wavelet-based filters Comparative study and application to business cycle," Documents de travail du Centre d'Economie de la Sorbonne 10027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  35. Bruzda Joanna, 2015. "Amplitude and phase synchronization of European business cycles: a wavelet approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 625-655, December.
  36. Ardila, Diego & Sornette, Didier, 2016. "Dating the financial cycle with uncertainty estimates: a wavelet proposition," Finance Research Letters, Elsevier, vol. 19(C), pages 298-304.
  37. Maissa Elmrabet & Boulila Ghazi, 2018. "Causality deficit-inflation : wavelet transform," Working Papers hal-01941464, HAL.
  38. Luboš Hanus & Lukáš Vácha, 2020. "Growth cycle synchronization of the Visegrad Four and the European Union," Empirical Economics, Springer, vol. 58(4), pages 1779-1795, April.
  39. Madaleno, Mara & Pinho, Carlos, 2014. "Wavelet dynamics for oil-stock world interactions," Energy Economics, Elsevier, vol. 45(C), pages 120-133.
  40. Aloui, Chaker & Hkiri, Besma & Nguyen, Duc Khuong, 2016. "Real growth co-movements and business cycle synchronization in the GCC countries: Evidence from time-frequency analysis," Economic Modelling, Elsevier, vol. 52(PB), pages 322-331.
  41. Olaolu Richard Olayeni, 2016. "Causality in Continuous Wavelet Transform Without Spectral Matrix Factorization: Theory and Application," Computational Economics, Springer;Society for Computational Economics, vol. 47(3), pages 321-340, March.
  42. Rania Jammazi & Duc Khuong Nguyen, 2017. "Estimating and forecasting portfolio’s Value-at-Risk with wavelet-based extreme value theory: Evidence from crude oil prices and US exchange rates," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(11), pages 1352-1362, November.
  43. Joanna Bruzda, 2011. "Business cycle synchronization according to wavelets – the case of Poland and the euro zone member countries," Bank i Kredyt, Narodowy Bank Polski, vol. 42(3), pages 5-32.
  44. Alqaralleh, Huthaifa & Canepa, Alessandra & Chini, Zanetti, 2021. "Financial Contagion During the Covid-19 Pandemic: A Wavelet-Copula-GARCH Approach," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202110, University of Turin.
  45. repec:dau:papers:123456789/6515 is not listed on IDEAS
  46. Rua, António & Nunes, Luis C., 2012. "A wavelet-based assessment of market risk: The emerging markets case," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 84-92.
  47. Roman Marsalek & Jitka Pomenkova & Svatopluk Kapounek, 2014. "A Wavelet-Based Approach to Filter Out Symmetric Macroeconomic Shocks," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 477-488, December.
  48. repec:zbw:bofrdp:2010_006 is not listed on IDEAS
  49. Zuzana Kucerova & Jitka Pomenkova, 2014. "Financial and Trade Integration of Selected EU Regions: Dynamic Correlation and Wavelet Approach," MENDELU Working Papers in Business and Economics 2014-45, Mendel University in Brno, Faculty of Business and Economics.
  50. Muhammad Nadim Hanif & Sajjad Zaheer & Javed Iqbal, 2022. "Time-Frequency Analysis of Determinants of Inflation Rate in Pakistan," SBP Working Paper Series 111, State Bank of Pakistan, Research Department.
  51. Hassan Farazmand & Amin Mansouri & Morteza Afghah, 2014. "Choosing the best type of wavelet: Case study-business cycle in Iran," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 4(5), pages 293-314, May.
  52. Caraiani, Petre, 2012. "Money and output: New evidence based on wavelet coherence," Economics Letters, Elsevier, vol. 116(3), pages 547-550.
  53. Ibrahim Ahamada & Philippe Jolivaldt, 2010. "Classical vs wavelet-based filters Comparative study and application to business cycle," Post-Print halshs-00476022, HAL.
  54. Chiara Perricone, 2018. "Wavelet analysis for temporal disaggregation," CEIS Research Paper 444, Tor Vergata University, CEIS, revised 29 Oct 2018.
  55. Kang, Byoung Uk & In, Francis & Kim, Tong Suk, 2017. "Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama–French factors," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 15-39.
  56. Luís Aguiar-Conraria & Pedro Brinca & Haukur Viðar Guðjónsson & Maria Joana Soares, 2015. "Optimum Currency Area and Business Cycle Synchronization Across U.S. States," NIPE Working Papers 1/2015, NIPE - Universidade do Minho.
  57. Antonis A Michis, 2011. "Denoised least squars forecasting of GDP changes using indexes of consumer and business sentiment," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 383-392, Bank for International Settlements.
  58. Valentina Aprigliano, 2020. "A large Bayesian VAR with a block‐specific shrinkage: A forecasting application for Italian industrial production," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(8), pages 1291-1304, December.
  59. Harald Schmidbauer & Angi Rösch & Erhan Uluceviz, 2012. "Connectedness Cycles in Equity Markets: A Wavelet Approach," EcoMod2012 4502, EcoMod.
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