Synchronization analysis between exchange rates on the basis of purchasing power parity using the Hilbert transform

Makoto Muto and Yoshitaka Saiki

The North American Journal of Economics and Finance, 2024, vol. 74, issue C

Abstract: Synchronization is a phenomenon in which a pair of fluctuations adjusts their rhythms when interacting with each other. We measure the degree of synchronization between the U.S. dollar (USD) and euro exchange rates and between the USD and Japanese yen exchange rates based on purchasing power parity (PPP) over time. We employ a method of synchronization analysis using the Hilbert transform and find that the degree of synchronization is high most of the time, which suggests the establishment of PPP. The degree of synchronization does not remain high across periods with asymmetric economic events such as the U.S. real estate bubble.

Keywords: Synchronization; Hilbert transform; Band-pass filter; Exchange rate; Purchasing power parity (search for similar items in EconPapers)
JEL-codes: C02 C14 C65 F31 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001165

DOI: 10.1016/j.najef.2024.102191

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