Some Aspects of the Discrete Wavelet Analysis of Bivariate Spectra for Business Cycle Synchronisation
| Autor: | Joanna Bruzda |
|---|---|
| Rok vydání: | 2011 |
| Předmět: |
Discrete wavelet transform
Lifting scheme Zustandsraummodell Stationary wavelet transform wavelet coherence Social Sciences Cascade algorithm Wavelet packet decomposition Wavelet Hilbert wavelet pair MODHWT wavelet coherence wavelet phase angle business cycle synchronisation euro zone Statistics ddc:330 E58 Complex wavelet transform HB71-74 E32 euro zone Mathematics C19 Konjunkturzusammenhang O52 jel:E32 Wavelet transform wavelet phase angle jel:E58 jel:O52 Economics as a science business cycle synchronisation jel:C19 EU-Staaten MODHWT Hilbert wavelet pair Eurozone General Economics Econometrics and Finance Algorithm Schätzung |
| Zdroj: | Economics : the Open-Access, Open-Assessment e-Journal (2011) |
| ISSN: | 1864-6042 |
| DOI: | 10.5018/economics-ejournal.ja.2011-16 |
| Popis: | The paper considers some of the issues emerging from the discrete wavelet analysis of popular bivariate spectral quantities such as the coherence and phase spectra and the frequency-dependent time delay. The approach utilised here is based on the maximal overlap discrete Hilbert wavelet transform (MODHWT). Firstly, via a broad set of simulation experiments, we examine the small and large sample properties of two wavelet estimators of the scale-dependent time delay. The estimators are the wavelet cross-correlator and the wavelet phase angle-based estimator. Our results provide some practical guidelines for the empirical examination of short- and medium-term lead-lag relations for octave frequency bands. Further, we point out a deficiency in the implementation of the MODHWT and suggest using a modified implementation scheme, which was proposed earlier in the context of the dual-tree complex wavelet transform. In addition, we show how MODHWT-based wavelet quantities can serve to approximate the Fourier bivariate spectra and discuss issues connected with building confidence intervals for them. The discrete wavelet analysis of coherence and phase angle is illustrated with a scale-dependent examination of business cycle synchronisation between 11 euro zone countries. The study is supplemented by a wavelet analysis of the variance and covariance of the euro zone business cycles. The empirical examination underlines the good localisation properties and high computational efficiency of the wavelet transformations applied and provides new arguments in favour of the endogeneity hypothesis of the optimum currency area criteria as well as the wavelet evidence on dating the Great Moderation in the euro zone. |
| Databáze: | OpenAIRE |
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