Research Discussion Papers, Bank of Finland
No 18/2006:
How hard is the euro are core? An evaluation of growth cycles using wavelet analysis
Patrick Crowley ()
, Douglas Maraun and David Mayes ()
Abstract: Using recent advances in time-varying spectral methods,
this research analyses the growth cycles of the core of the euro area in
terms of frequency content and phasing of cycles. The methodology uses the
con-tinuous wavelet transform (CWT) and also Hilbert wavelet pairs in the
setting of a non-decimated discrete wavelet transform in order to analyse
bivariate time series in terms of conventional frequency domain measures
from spectral analysis. The findings are that coherence and phasing between
the three core members of the euro area (France, Germany and Italy) have
increased since the launch of the euro.
Keywords: time-varying spectral analysis; coherence; phase; business cycles; EMU; growth cycles; Hilbert trans-form; wavelet analysis; (follow links to similar papers)
JEL-Codes: C19; C63; C65; E32; E39; E58; F40; (follow links to similar papers)
46 pages, September 27, 2006
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