EconPapers    
Economics at your fingertips  
 

Time-varying leads and lags across frequencies using a continuous wavelet transform approach

Yoshito Funashima

Economic Modelling, 2017, vol. 60, issue C, 24-28

Abstract: A precise understanding of lead–lag structures in economic data is important for many economic agents such as policymakers, traders in financial markets, and producers in goods markets. To identify time-varying lead–lag relationships across various frequencies in economic time series, recent studies have used phase difference on the basis of a continuous wavelet transform. However, the extant literature includes several conflicting interpretations of phase difference. In this study, we extensively discuss wavelet phase difference, determine its most plausible interpretation, and thus attempt to address gaps in the existing literature. Consequently, this study suggests that some lead–lag results of previous works have been driven by incorrect interpretations of wavelet phase difference.

Keywords: Time-varying leads and lags; Frequencies; Wavelet; Phase difference (search for similar items in EconPapers)
JEL-codes: C49 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999316302693
Full text for ScienceDirect subscribers only

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:eee:ecmode:v:60:y:2017:i:c:p:24-28

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2018-07-28
Handle: RePEc:eee:ecmode:v:60:y:2017:i:c:p:24-28