1,721,037 research outputs found
Making leading indicators more leading. A "wavelet-based" method for the construction of composite leading indexes
No full textThis paper proposes a novel wavelet-based approach for constructing composite indicators. The wavelet-based methodology exploits the ability of wavelet analysis to analyze the relationships between variables on a scale-by-scale, rather than aggregate, basis. A wavelet-based
index which combines several "scale-based" sub-indexes is constructed by using a "scale-by-scale" selection of the components included in the OECD composite leading indicator (CLI) for the US. The comparison
with the CLI and its derived measures indicate that the wavelet-based composite index tends to provide early signals of business cycle turning points well in advance of the OEDC CLI. Moreover we find that the reliability of the signals tends to increase considerably when the sub-index obtained from the time scale components corresponding to
minor cycles, i.e. 2-4 years, is removed from the overall wavelet-based index
Wavelet analysis of stock returns and aggregate economic activity
Full text linkThe relationship between stock market returns and economic activity is investigated using signal decomposition techniques based on wavelet analysis. After the application of the maximum overlap discrete wavelet transform (MODWT) to the DJIA stock price index and the industrial production index for the US over the period 1961:1-2006:10wavelet variance and cross-correlations analyses are used to investigate the scaling properties of the series and the lead/lag relationship between them at different time scales. The results show that stock market returns tend to lead the level of economic activity, but only at the highest scales (lowest frequencies)
corresponding to periods of 16 months and longer, and that the leading period increases as the wavelet time scale increases
Modello del ciclo vitale reddito-permanente con aspettative razionali ed error correction model: un confronto con dati italiani fra i due approcci della funzione del consumo
No full textGli investimenti in impianti ed attrezzature in Italia nel periodo 1952-90: un confronto fra specificazioni alternative dell'acceleratore flessibile
No full textA wavelet-based approach to test for financial market contagion
No full textA wavelet-based approach to test whether contagion occurred during the US subprime crisis of 2007 is proposed. After separately identifying contagion and interdependence through wavelet decomposition of the original returns series, the presence of contagion is assessed using a simple graphical test based on non-overlapping confidence intervals of estimated wavelet coefficients in crisis and non-crisis periods. The results indicate that all stock markets have been affected by the US subprime crisis and that Brazil and Japan are the only countries in which contagion is observed at all scales
Una generalizzazione dell'approccio Greenwald-Stiflitz basata sul moello di gerarchia finanziaria delle fonti di finanziamento
No full text
A systematic wavelet-based exploratory analysis of climatic variables
No full textNonstationarity and time scale dependence are essential features of the climate system that may be simultaneously dealt with using wavelet analysis. In this study, we present a systematic analysis of a set of climate system variables, which include
both natural and anthropogenic contributions, using wavelet-based exploratory methods. The tools of the continuous wavelet transform, the wavelet spectrum, coherence, and phase offer a comprehensive assessment of the characteristic modes of variability of climate system forcings and of the scale-based relationships of anthropogenic and
natural climate variables with global surface temperature. Shorter term variations in global surface temperature are associated with internally generated natural climate variability and external climate forcings, while
longer term variations are strongly related to human induced changes only. In this respect, a long term
component of the net radiative forcing of human activities longer than 30 years displays a statistically
significant relationship with global warming and cooling periods identified in the climate change literature
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