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Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach

Benhmad, François - In: Economic Modelling 29 (2012) 4, pp. 1505-1514

In this paper, we use a wavelet approach to study the linear and nonlinear Granger causality between the real oil price and the real effective U.S. Dollar exchange rate. Instead of analyzing the time series at their original level, as it is usually done, we first decompose the two macroeconomic...

Persistent link: https://www.econbiz.de/10010577110

Stylized facts of business cycles in a transition economy in time and frequency

Caraiani, Petre - In: Economic Modelling 29 (2012) 6, pp. 2163-2173

We discuss the properties of business cycles in Romania between 1991 and 2011 using a wavelets based method. We compare …

Persistent link: https://www.econbiz.de/10010588234

Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP

Ahamada, Ibrahim; Jolivaldt, Philippe - In: Economic Modelling 31 (2013) C, pp. 460-466

based on windowed-estimate of the time-spectral density, while the second method is the wavelets theory. We show that the … wavelets approach is particularly powerful to detect changes in cyclical properties, while the first approach fails in such a … case. In contrast, the wavelets method fails to capture time–interaction effects, while the first approach is more powerful …

Persistent link: https://www.econbiz.de/10010636253

Decomposing time-frequency relationship between producer price and consumer price indices in Romania through wavelet analysis

Tiwari, Aviral Kumar; Mutascu, Mihai; Andries, Alin Marius - In: Economic Modelling 31 (2013) C, pp. 151-159

This study analyses Granger-causality between the return series of CPI and PPI (i.e., inflation measured by CPI and PPI) for Romania, by using monthly data covering the period of 1991m1 to 2011m11. To analyse the issue in depth, this study decomposes the time-frequency relationship between CPI-...

Persistent link: https://www.econbiz.de/10010636265

Oil price and exchange rates: A wavelet based analysis for India

Tiwari, Aviral Kumar; Dar, Arif Billah; Bhanja, Niyati - In: Economic Modelling 31 (2013) C, pp. 414-422

In this paper, we explore linear and nonlinear Granger causalities between oil price and the real effective exchange rate of the Indian currency, known as ‘rupee’. First, we apply the standard time domain approach, but fail to find any causal relationship. So, we decompose the two series at...

Persistent link: https://www.econbiz.de/10010636280

Bull or bear markets: A wavelet dynamic correlation perspective

Benhmad, François - In: Economic Modelling 32 (2013) C, pp. 576-591

In this paper, we contribute to the literature on the international stock market co-movements and contagion, especially during the recent subprime crisis, by researching the interconnections between international stock markets in time-frequency domain.

Persistent link: https://www.econbiz.de/10010664401

On the relationship between oil price and exchange rates: A wavelet analysis

Uddin, Gazi Salah; Tiwari, Aviral Kumar; Arouri, Mohamed; … - In: Economic Modelling 35 (2013) C, pp. 502-507

We may find numerous works in the existing literature regarding the cohesion between oil prices and exchange rates, yet an exact shape of the relationship remains undefined. By restoring to wavelet analysis and using a rich database from Japan, this study contributes to the literature by...

Persistent link: https://www.econbiz.de/10010719357

Oil prices and the macroeconomy reconsideration for Germany: Using continuous wavelet

Tiwari, Aviral Kumar - In: Economic Modelling 30 (2013) C, pp. 636-642

The cross wavelet analysis is used in the study to decompose the time–frequency effects of oil price changes on the German macroeconomy. We argue that the relationship between oil prices and industrial production is ambiguous. Our results show that there are both phase and anti-phase...

Persistent link: https://www.econbiz.de/10010608243

Capital flows and current account dynamics in Turkey: A nonlinear time series analysis

Cecen, Aydin; Xiao, Linlan - In: Economic Modelling 39 (2014) C, pp. 240-246

The paper offers an analysis of current account dynamics and its sustainability in Turkey using quarterly data. The focus is on the nonlinear characterization of the long run intertemporal budget constraint and the stationarity tests. Several well-known tests are applied to identify nonlinearity...

Persistent link: https://www.econbiz.de/10010781972

Long memory and regime switching properties of current account deficits in the US

Chen, Shyh-Wei - In: Economic Modelling 35 (2013) C, pp. 78-87

Chen (2011) [Are current account deficits really sustainable in the G-7 countries? Japan and the World Economy, 23(3), 190–201.] examines whether or not the current account deficits of the US can be characterized by a unit root process with regime switching (MS-ADF). In this paper, we find...

Persistent link: https://www.econbiz.de/10011048716