Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/7865

TitleUsing wavelets to decompose the time–frequency effects of monetary policy
Author(s)Conraria, Luís Aguiar
Azevedo, Nuno
Soares, M. J.
KeywordsMonetary policy
Time–frequency analysis
Non-stationary time series
Wavelets
Cross-wavelets
Wavelet coherency
Issue dateMay-2008
PublisherElsevier
JournalPhysica a : Statistical Mechanics and Its Applications
Citation"Physica A : Statistical Mechanics and its Applications". ISSN 0378-4371. 387:12 (May 2008) 2863-2878.
Abstract(s)Central banks have different objectives in the short and long run. Governments operate simultaneously at different timescales. Many economic processes are the result of the actions of several agents, who have different term objectives. Therefore, a macroeconomic time series is a combination of components operating on different frequencies. Several questions about economic time series are connected to the understanding of the behavior of key variables at different frequencies over time, but this type of information is difficult to uncover using pure time-domain or pure frequency-domain methods. To our knowledge, for the first time in an economic setup, we use cross-wavelet tools to show that the relation between monetary policy variables and macroeconomic variables has changed and evolved with time. These changes are not homogeneous across the different frequencies.
TypeArticle
URIhttp://hdl.handle.net/1822/7865
DOI10.1016/j.physa.2008.01.063
ISSN0378-4371
Peer-Reviewedyes
AccessOpen access
Appears in Collections:NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

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