Using wavelets to decompose the time–frequency effects of monetary policy

Luís Aguiar-Conraria (), Nuno Azevedo and Maria Joana Soares

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 12, 2863-2878

Abstract: 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.

Keywords: Monetary policy; Time–frequency analysis; Non-stationary time series; Wavelets; Cross-wavelets; Wavelet coherency (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (266)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:12:p:2863-2878

DOI: 10.1016/j.physa.2008.01.063

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