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Using wavelets to decompose the time–frequency effects of monetary policy

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  • Aguiar-Conraria, Luís
  • Azevedo, Nuno
  • Soares, Maria Joana

Abstract

Central banks have different objectives in the short and long run. Governments operate simultaneously at different timescales. Many economic processes are the result of the actions of several agents, who have different term objectives. Therefore, a macroeconomic time series is a combination of components operating on different frequencies. Several questions about economic time series are connected to the understanding of the behavior of key variables at different frequencies over time, but this type of information is difficult to uncover using pure time-domain or pure frequency-domain methods.

Suggested Citation

  • Aguiar-Conraria, Luís & Azevedo, Nuno & Soares, Maria Joana, 2008. "Using wavelets to decompose the time–frequency effects of monetary policy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2863-2878.
    • Handle: RePEc:eee:phsmap:v:387:y:2008:i:12:p:2863-2878
    DOI: 10.1016/j.physa.2008.01.063
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