Multiscale Analysis of the Liquidity Effect in the UK Economy

Michis, Antonis

doi:10.1007/s10614-014-9429-8

Cited by 9 publications

(7 citation statements)

References 25 publications

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“…The timefrequency analysis has been recently applied by Michis (2015) to investigate the liquidity effect in the UK economy. He employs standardized regressions, a framework proposed by Cochrane (1989).…”

Section: Liquidity Effectmentioning

confidence: 99%

Wavelet Multiresolution Analysis of the Liquidity Effect and Monetary Neutrality

Habimana

2017

Comput Econ

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This paper employs the maximum overlap discrete wavelet transform to obtain timescale decompositions of monetary aggregates, short-term interest rates and output to investigate two propositions in monetary economics: the liquidity effect and the long-run neutrality of money. Evidence from correlation and Granger causality over five timescales suggests that the liquidity effect is statistically significant in both the US and Sweden's economies, with a shorter time horizon in the US than in Sweden. There is no evidence of monetary neutrality in both economies; at finest timescales, output Granger causes money in Sweden, whereas it is the other way around in the US. At long time horizons, there is a feedback between money and output in both economies. Key to our findings is that monetary disturbances have significant real effects and these effects last longer than it is assumed in real business cycle models.

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Section: Liquidity Effectmentioning

confidence: 99%

Wavelet Multiresolution Analysis of the Liquidity Effect and Monetary Neutrality

Habimana

2017

Comput Econ

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“…To estimate the beta coefficient of gold at different time-scales, the excess returns of the assets were deconstructed using the Daubechies least asymmetric wavelet filter with length 8 in the context of the MODWT. This filter has good frequency localization properties and was also used by Kim and In (2010) and Michis (2015Michis ( , 2014 for the analysis of similar financial data. Following the wavelet transforms, separate beta coefficients were estimated by time-scale and currency using equation (2) and the wavelet variances (for excess stock market returns) and covariances (between gold and stock market excess returns) presented in Section 2.…”

Section: Estimation Resultsmentioning

confidence: 99%

The Systematic Risk of Gold at Different Timescales

Michis

2018

SSRN Journal

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Gold is frequently cited by investors as a financial asset that can be associated with a negative beta coefficient. I investigate this hypothesis by estimating the beta coefficient of gold at different time-scales and examining the associated implications for investors with different planning horizons. Estimation is performed using maximal overlap discrete wavelet transforms of gold and stock market returns in four major currencies. The results suggest that gold tends to be associated with a negative beta coefficient when considering long-term investment horizons, and this finding is consistent across markets and currencies.

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“…The book by Percival and Walden (2000) provides a comprehensive review of the field. Notable recent advances in the literature include the following: the locally stationary wavelet processes that were introduced by Nason et al (2000), the development of wavelet models for irregularly spaced time series using second-generation wavelets (Knight et al 2016), methods for multiscale variance stabilisation (Fryzlewicz et al 2007), stationarity tests (Cardinali and Nason 2018;Nason 2013), forecasting (Xie et al 2009;Michis 2015a) and applications to texture modelling (Taylor et al 2017).…”

Section: Wavelet Analysismentioning

confidence: 99%

Wavelet Multidimensional Scaling Analysis of European Economic Sentiment Indicators

Michis

2021

J Classif

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We propose the use of wavelet coefficients, which are generated from nondecimated discreet wavelet transforms, to form a correlation-based dissimilarity measure in metric multidimensional scaling. This measure enables the construction of configurations depicting the associations between objects across different timescales. The proposed method is used to examine the similarities between the economic sentiment indicators of the EU member states that are published monthly by the European Commission. The results suggest that economic sentiment differs considerably among the member states in the short term. In contrast, several similarities emerge when considering the associations over longer time horizons. These similarities tend to be related to the countries that are geographically close or that exhibited similar economic behaviour prior to the introduction of the euro. Furthermore, the results of a detailed simulation study suggest that the proposed dissimilarity measure is particularly well suited for identifying long-term associations between nonstationary time series.

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Multiscale Analysis of the Liquidity Effect in the UK Economy

Cited by 9 publications

References 25 publications

Wavelet Multiresolution Analysis of the Liquidity Effect and Monetary Neutrality

Wavelet Multiresolution Analysis of the Liquidity Effect and Monetary Neutrality

The Systematic Risk of Gold at Different Timescales

Wavelet Multidimensional Scaling Analysis of European Economic Sentiment Indicators

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