The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses
Kim Sangbae (sangbae.kim@buseco.monash.edu.au) and
In Francis Haeuck (francis.in@buseco.monash.edu.au)
Additional contact information
Kim Sangbae: Monash University
In Francis Haeuck: Monash University
Studies in Nonlinear Dynamics & Econometrics, 2003, vol. 7, issue 4, 18
Abstract:
Many empirical studies find that financial variables possess a predictive power over real economic activity. To examine this relationship, we adopt two time-series techniques: spectral analysis and a newly developed method, wavelet analysis. The major innovation of this paper is to apply wavelet analysis to the investigation of the relationship between various financial variables and real economic activity. Spectral analysis reports that US industrial production and financial variables have a common component in the long run and a varying lead-lag relationship, depending on the cycles. It implies that the relationship between US industrial production and the financial variables is not constant over time. This result is consistently confirmed by wavelet analysis. The lead-lag relationship, in the sense of Granger causality, varies over time, depending on the wavelet time scale.
Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (63)
Downloads: (external link)
https://doi.org/10.2202/1558-3708.1183 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:7:y:2003:i:4:n:4
Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/snde/html
DOI: 10.2202/1558-3708.1183
Access Statistics for this article
Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach
More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla (peter.golla@degruyter.com).