Frequency Dependence in a Real-Time Monetary Policy Rule

Ashley, Richard; Tsang, Kwok Ping; Verbrugge, Randal J.

doi:10.26509/wp-201430

Cited by 2 publications

(2 citation statements)

References 44 publications

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“…S = (S ij ) p i;j=1 . 7 For a given matrix A, A j i denotes the sub-matrix obtained by deleting its i-th row and j-th column and A d ij denotes the co-factor of the element in position (i; j) of A, i.e.…”

Section: Multivariate Wavelet Analysismentioning

confidence: 99%

Estimating the Taylor rule in the time-frequency domain

Aguiar‐Conraria

Martins

Soares

2018

Journal of Macroeconomics

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Section: Multivariate Wavelet Analysismentioning

confidence: 99%

Estimating the Taylor rule in the time-frequency domain

Aguiar‐Conraria

Martins

Soares

2018

Journal of Macroeconomics

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show abstract

“…Both Ashley and Tsang (2013) and Yanfeng (2013) examine the frequency dependence in oil price–economic output relation. Ashley et al (2011) use this method of analysis to examine the Taylor rule in monetary policy. Ciner (2014) relies on this approach to examine the relation between consumer sentiment and stock return, while Ciner (2013) focuses on sensitivity of the oil price–stock return relation to frequency of shocks.…”

Section: Statistical Methods Of Analysismentioning

confidence: 99%

Are equities good inflation hedges? A frequency domain perspective

Ciner

2014

Rev Financ Econ

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a b s t r a c t By using industry level data, we examine the relation between equity returns and inflation in a frequency dependent framework. Our analysis shows that a positive relation in fact exists between equity returns and high frequency inflation shocks for commodity and technology related industries. Since higher frequency shocks are independent from trend and are transitory in nature, our findings imply a positive relation between stock returns and the unexpected component of inflation. Furthermore, we show that the results are robust to firm-level data by using a sample from the oil industry. Hence, our study provides a new look at the impact of inflation on equities by showing the sensitivity of conclusions in prior work to frequency dependence in data.

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Frequency Dependence in a Real-Time Monetary Policy Rule

Cited by 2 publications

References 44 publications

Estimating the Taylor rule in the time-frequency domain

Estimating the Taylor rule in the time-frequency domain

Are equities good inflation hedges? A frequency domain perspective

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