Spectral Analysis as a Tool for Financial Policy: An Analysis of the Short-End of the British Term Structure

Christian R Richter Andrew Hughes Hallett
Authors registered in the RePEc Author Service: Andrew Hughes Hallett and Christian R. Richter

No 127, Computing in Economics and Finance 2001 from Society for Computational Economics

Abstract: In this paper, we show how to derive the spectra and cross-spectra of economic times series from an underlying econometric or VAR model. This allows us to conduct a proper frequency analysis of economic and financial variables on a reduced sample of data, without it being ruled out by large sample requirements of direct spectral estimation. We show, in particular, how this can be done for time-varying models and time-varying spectra. We apply our techniques to the behaviour of British interest rates during and following the ERM crisis of 1992/3.

Keywords: Interest Rates; Time Dependent Spectral Analysis; Behavioural Finance; Learning; Monetary Policy (search for similar items in EconPapers)
JEL-codes: C22 C29 E43 (search for similar items in EconPapers)
Date: 2001-04-01
References: Add references at CitEc
Citations: View citations in EconPapers (3)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Spectral Analysis as a Tool for Financial Policy: An Analysis of the Short-End of the British Term Structure (2004)
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:sce:scecf1:127

Access Statistics for this paper

More papers in Computing in Economics and Finance 2001 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().