Analyzing Time–Frequency Based Co-movement in Inflation: Evidence from G-7 Countries

Tiwari, Aviral Kumar; Bhanja, Niyati; Dar, Arif Billah; Olayeni, Olaolu Richard

doi:10.1007/s10614-013-9408-5

Cited by 17 publications

(30 citation statements)

References 26 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…6 E.g employed by Engle (2002) and Antonakakis (2012). 7 In our analysis we choose the Morlet wavelet following Rua (2010) and Tiwari et al (2014). This wavelet can be factored into real and imaginary parts which allows for the separation of the phase and the amplitude of a studied signal.…”

Section: Conclusion and Policy Implicationsmentioning

confidence: 99%

“…This wavelet can be factored into real and imaginary parts which allows for the separation of the phase and the amplitude of a studied signal. Tiwari et al (2014) has shown that Morlet performed better as compared to Paul and Dog Wavelet transformations. Finally, the values for the calibrated parameter are adopted from Table 1 of Tiwari et al (2014).…”

Section: Conclusion and Policy Implicationsmentioning

confidence: 99%

See 1 more Smart Citation

Synchronisation of policy related uncertainty, financial stress and economic activity in the United States

2020

Self Cite

View full text Add to dashboard Cite

This study analyses the synchronisation of economic activity, financial stress and uncertainty in the United States by employing a wavelet-based approach of cohesion. Being innovative in the choice of the methodological framework as well as underlying factors of interest, we employed the monthly data on the policy-related uncertainty indexes, Chicago Fed National Activity Index (CFNAI) and Kansas City Federal Reserve Financial Stress Index (KCFSI).Our key empirical findings suggest that the co-movements of policy uncertainty, financial stress and economic activity are frequencies as well as timedependent. The uncertainty indices are found to be synchronised at lower and intermediate frequencies for all of the pairs. In the nexus between uncertainty and economic activity, financial stress plays a crucial role. Co-movement of the policy uncertainty is observed to be more pronounced during the crisis periods though at different frequencies which indicated the usefulness of the proposed framework to analyse the implications of contemporaneous policy uncertainty and financial stress for the real economy. Concomitantly this informs the policy efforts to address the financial and economic instabilities which may arise as a consequence of financial stress and policy uncertainty.

show abstract

Section: Conclusion and Policy Implicationsmentioning

confidence: 99%

Section: Conclusion and Policy Implicationsmentioning

confidence: 99%

Synchronisation of policy related uncertainty, financial stress and economic activity in the United States

2020

Self Cite

View full text Add to dashboard Cite

show abstract

“…The European Economic and Monetary Union (EMU) members adopted similar monetary functions and financial strategies (Neely and Rapach 2011;Tiwari et al 2015). These EMU economies are directed toward price stability.…”

Section: Introductionmentioning

confidence: 99%

“…This methodology has been widely applied in a variety of different areas such as analysing integrations of commodity markets (Lucey et al 2014;Batten et al 2015), global business cycle (Diebold and Yilmaz 2015), oil prices and uncertainty policies (Antonakakis et al 2014), relationship between tourism and economic growth (Dragouni et al 2013) and convergence of house prices across regions in the United Kingdom (Montagnoli and Nagayasu 2015). To the best of our knowledge, this method has been used only in Tiwari et al (2015Tiwari et al ( , 2016 to examine the inflations spillovers.…”

Section: Introductionmentioning

confidence: 99%

“…This method has been recently used to analyse inflation rate volatility. Tiwari et al (2015) found that inflation rate co-movements in G7 countries are multi-scale and characterised by structural breaks. Using wavelet multiple correlations, Tiwari et al (2016) proved that inflation rates in four major European countries are significantly correlated with lower frequencies, and inflation co-movements increase with the timescales.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Analysing the spillover of inflation in selected Euro-area countries

et al. 2018

Self Cite

View full text Add to dashboard Cite

We examined the spillover of inflation in selected Euro-area countries using monthly consumer price index (CPI) based inflation data covering the period 1955M1 to 2017M4. To achieve our objective, we used two recently developed methods of spillover: a time-domain spillover method, Diebold-Yilmaz (hereafter referred as DY method) and a frequency-domain method, Barunik-Krehlik (hereafter referred as BK method). We analysed 1-4 months and more than 4 months spillovers. The study has importance because the co-movement in the international inflation rates, among others, may be produced by common shocks, similarities in central bank reaction functions, international trade and the operation of purchasing power parity theory. However, to assess the synchronisation of inflation fluctuations across countries or regions, it is critical to understand the inflation behaviour and formulation of correct monetary policy. KeywordsInflation • Spillover • Time-frequency JEL Codes C40 • E31 • E32 • F44 B Aviral Kumar Tiwari

show abstract

Time-frequency relationship between R&D intensity, globalization, and carbon emissions in G7 countries: evidence from wavelet coherence analysis

Huang

Zhu

2021

Environ Sci Pollut Res

View full text Add to dashboard Cite

Analyzing Time–Frequency Based Co-movement in Inflation: Evidence from G-7 Countries

Cited by 17 publications

References 26 publications

Synchronisation of policy related uncertainty, financial stress and economic activity in the United States

Synchronisation of policy related uncertainty, financial stress and economic activity in the United States

Analysing the spillover of inflation in selected Euro-area countries

Time-frequency relationship between R&D intensity, globalization, and carbon emissions in G7 countries: evidence from wavelet coherence analysis

Contact Info

Product

Resources

About