A Wavelet-Based Approach to Filter Out Symmetric Macroeconomic Shocks

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216305:26220/14:PU105744

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

A Wavelet-Based Approach to Filter Out Symmetric Macroeconomic Shocks

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

A Wavelet-Based Approach to Filter Out Symmetric Macroeconomic Shocks

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Computational Economics

ISSN

0927-7099

e-ISSN

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Svazek periodika

44

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

12

Strana od-do

477-488

Kód UT WoS článku

344750200003

EID výsledku v databázi Scopus

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