Analyzing Time–Frequency Based Co-movement in Inflation: Evidence from G-7 Countries
Aviral Tiwari,
Niyati Bhanja (),
Arif Dar and
Olaolu Olayeni
Computational Economics, 2015, vol. 45, issue 1, 109 pages
Abstract:
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 synchronization of inflation fluctuations across countries or regions is critical from the perspective of understanding inflation behavior and formulation of correct monetary policy. This study attempts to investigate inflation rates co-movement among G7 countries at different frequencies or time scales under the framework of the continuous wavelets. In particular, this study analyzes the coherency and the phase relationship in time–frequency space in inflation rates of G7 countries. The wavelet-based measure of cohesion allows us to assess simultaneously how synchronization has evolved over time and across frequencies. Overall, our results indicate that inflation co-movements in G7 countries are multi-scale and characterized by structural breaks. Copyright Springer Science+Business Media New York 2015
Keywords: Co-movement; Wavelets; Time–frequency; Inflation; G7; C40; E31; E32; F44 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)
Downloads: (external link)
http://hdl.handle.net/10.1007/s10614-013-9408-5 (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:kap:compec:v:45:y:2015:i:1:p:91-109
Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10614/PS2
DOI: 10.1007/s10614-013-9408-5
Access Statistics for this article
Computational Economics is currently edited by Hans Amman
More articles in Computational Economics from Springer, Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().