Detail výsledku
A wavelet-based approach to filter out symmetric macroeconomic shocks
Dluhá Jitka, doc. RNDr., Ph.D., PEF MENDELU (), UREL (FEKT)
Kapounek Svatopluk, doc. ing., Ph.D.
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.
wavelet transform, flters, comovement, macroeconomic shocks
@article{BUT102602,
author="Roman {Maršálek} and Jitka {Dluhá} and Svatopluk {Kapounek}",
title="A wavelet-based approach to filter out symmetric macroeconomic shocks",
journal="Computational Economics",
year="2014",
volume="2014 (44)",
number="4",
pages="477--488",
doi="10.1007/s10614-013-9403-x",
issn="0927-7099"
}