Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F22%3A00561394" target="_blank" >RIV/67985556:_____/22:00561394 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/00216208:11230/22:10436519

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S0378437121008037?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0378437121008037?via%3Dihub</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.physa.2021.126530" target="_blank" >10.1016/j.physa.2021.126530</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression

Popis výsledku v původním jazyce

Heterogeneity of effects between economic variables has been a frequently discussed topic for many years now. However, the estimation of such scale-dependent effects has proved challenging. Here, we propose a multivariate multiscale regression approach based on the combination of detrended fluctuation analysis and detrended cross-correlation analysis, but the idea can be easily translated into other time and frequency domain frameworks. As illustrations, we pick two classic economic models – the Taylor’s rule and the money demand function for the USA and Japan – and we uncover evident scale-dependence in the individual effects not visible by the simple regression tools. Importantly, the proposed framework can be used in any discipline where studying the effects at various scales is of interest. Further applications are thus certainly at hand.

Název v anglickém jazyce

Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression

Popis výsledku anglicky

Heterogeneity of effects between economic variables has been a frequently discussed topic for many years now. However, the estimation of such scale-dependent effects has proved challenging. Here, we propose a multivariate multiscale regression approach based on the combination of detrended fluctuation analysis and detrended cross-correlation analysis, but the idea can be easily translated into other time and frequency domain frameworks. As illustrations, we pick two classic economic models – the Taylor’s rule and the money demand function for the USA and Japan – and we uncover evident scale-dependence in the individual effects not visible by the simple regression tools. Importantly, the proposed framework can be used in any discipline where studying the effects at various scales is of interest. Further applications are thus certainly at hand.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GJ17-12386Y" target="_blank" >GJ17-12386Y: Multifraktální analýza ve financích: Extrémní události, řízení rizika a portfolia, a komplexita trhů</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2022

Kód důvěrnosti údajů

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

Název periodika

Physica. A : Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

1873-2119

Svazek periodika

588

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

16

Strana od-do

126530

Kód UT WoS článku

000729809800011

EID výsledku v databázi Scopus

2-s2.0-85118890244