Detail publikačního výsledku

A wavelet-based approach to filter out symmetric macroeconomic shocks

MARŠÁLEK, R.; POMĚNKOVÁ, J.; KAPOUNEK, S.

Originální název

A wavelet-based approach to filter out symmetric macroeconomic shocks

Anglický název

A wavelet-based approach to filter out symmetric macroeconomic shocks

Druh

Článek WoS

Originální abstrakt

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.

Anglický abstrakt

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.

Klíčová slova

wavelet transform, flters, comovement, macroeconomic shocks

Klíčová slova v angličtině

wavelet transform, flters, comovement, macroeconomic shocks

Autoři

MARŠÁLEK, R.; POMĚNKOVÁ, J.; KAPOUNEK, S.

Rok RIV

2015

Vydáno

01.12.2014

Nakladatel

Springer

Místo

New York, USA

ISSN

0927-7099

Periodikum

Computational Economics

Svazek

2014 (44)

Číslo

4

Stát

Nizozemsko

Strany od

477

Strany do

488

Strany počet

12

BibTex

@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"
}