A Wavelet-Based Approach to Filter Out Symmetric Macroeconomic Shocks
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F14%3A00225973" target="_blank" >RIV/62156489:43110/14:00225973 - isvavai.cz</a>
Alternative codes found
RIV/00216305:26220/14:PU105744
Result on the web
<a href="http://dx.doi.org/10.1007/s10614-013-9403-x" target="_blank" >http://dx.doi.org/10.1007/s10614-013-9403-x</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10614-013-9403-x" target="_blank" >10.1007/s10614-013-9403-x</a>
Alternative languages
Result language
angličtina
Original language name
A Wavelet-Based Approach to Filter Out Symmetric Macroeconomic Shocks
Original language description
We propose a novel method for econometric time series analysis. This method acts as the comovement-selective filter and is useful to filter out the cycles that are caused by an global event present in the reference time series. We demonstrate its applicability on removing symmetric macroeconomic shock caused by recent financial crisis from the business cycle of the euro area according to the comovement with the United States. The application allowing to identify the country specific business cycles in the Visegrad countries data using the comovement with Germany is also presented. The method is based on the continuous wavelet transform, its inverse and the comovement measurement in the time-frequency domain. Its application also enables to uncover detailed development of the business cycle synchronization in time.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Computational Economics
ISSN
0927-7099
e-ISSN
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Volume of the periodical
44
Issue of the periodical within the volume
4
Country of publishing house
US - UNITED STATES
Number of pages
12
Pages from-to
477-488
UT code for WoS article
344750200003
EID of the result in the Scopus database
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