Time–frequency relationship between share prices and exchange rates in India: Evidence from continuous wavelets

Tiwari, Aviral Kumar; Bhanja, Niyati; Dar, Arif Billah; Islam, Faridul

doi:10.1007/s00181-014-0800-3

Cited by 43 publications

(23 citation statements)

References 30 publications

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“…Although widely accepted in the physical and medical sciences, wavelet analysis has been slow to enter the toolbox of methods used in empirical economics, but this is now being addressed by numerous recent contributions. Examples include Aguiar‐Conraria and Soares (), Gallegati et al (), Dar et al (), Tiwari et al (), Chen (), Crowley and Hughes Hallett (), Faria and Verona (), Verona (), and specifically for South African core inflation, Du Plessis et al ().…”

Section: Modwt Wavelet Analysis Data and Backgroundmentioning

confidence: 99%

Evaluating South African Fiscal and Monetary Policy Trade‐offs Using a Wavelet‐Based Model

Crowley

Hudgins

2018

South African J Economics

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The balance between South African fiscal and monetary policy in an open economy context poses some interesting questions for policymakers: questions such as whether more aggressive monetary or fiscal policy will likely deliver better growth prospects in the short and medium run, and what will the consequences be for the real exchange rate and for inflation? This research applies wavelet analysis to post‐apartheid South African quarterly macroeconomic data, and uses the decomposition to simulate a large state‐space linear‐quadratic tracking model. We find that restricted fiscal policy is the best option to realise growth, leading to lower interest rates, lower inflation, real exchange depreciation and improved trade balances compared to restricted monetary policy.

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Section: Modwt Wavelet Analysis Data and Backgroundmentioning

confidence: 99%

Evaluating South African Fiscal and Monetary Policy Trade‐offs Using a Wavelet‐Based Model

Crowley

Hudgins

2018

South African J Economics

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“…() analysed the Bombay stock exchange index at various time scales, and beyond that the wavelet technique is not explored quite extensively for Indian data. Some recent studies on similar issues are: Tiwari (), Tiwari et al (, ), Dar et al . ().…”

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confidence: 92%

Revisiting the Growth–Inflation Nexus: A Wavelet Analysis

Bhaduri

2015

Economic Notes

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Motivated by the concern that the recent surge in inflation could retard growth, the paper revisits the nexus between inflation and growth from the perspective of an emerging economy, India. Examining this relationship using a wavelet multi-resolution analysis with varying time scale decomposition suggests a strong and persistent negative relationship between growth and inflation for a short time scale, while it is not significant for a longer time scale.(J.E.L.: E30, E31).

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“…In addition, this method can be directly applied to a non-stationary time series, such as housing prices, that exhibits complex patterns over time [11]. Tiwari et al [12] suggest that the wavelet method is the preferred tool for exploring macro financial relationships, especially when the objective is to detect instantaneous effects across time and frequencies.…”

Section: Introductionmentioning

confidence: 99%

How do housing prices affect consumption in China? New evidence from a continuous wavelet analysis

Yin

Tao

2018

PLoS ONE

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In this paper, we revisit the relationship between housing prices and consumption in China by using a continuous wavelet analysis. This method provides an insight into the dynamic nexus in both time and frequency domains. In general, Empirical results show that there is a positive relationship between the two series in China, although it varies across time and frequencies. First, we find that disposable income is the core factor which affects both consumption and housing prices in China. Second, housing prices have a weak wealth effect on consumption in most time. High housing ownership and proportion of housing asset in the total household asset lead to a wealth effect of housing prices on consumption. Third, in the long term, there is a significant wealth effect of housing prices on consumption, but it weakens after 2008, which implies that excessively high housing prices in recent years have partially constrained residents’ consumption. These findings have important implications for seeking housing market regulation and expanding domestic consumption decisions.

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Time–frequency relationship between share prices and exchange rates in India: Evidence from continuous wavelets

Cited by 43 publications

References 30 publications

Evaluating South African Fiscal and Monetary Policy Trade‐offs Using a Wavelet‐Based Model

Evaluating South African Fiscal and Monetary Policy Trade‐offs Using a Wavelet‐Based Model

Revisiting the Growth–Inflation Nexus: A Wavelet Analysis

How do housing prices affect consumption in China? New evidence from a continuous wavelet analysis

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