Frequency based co-movement of inflation in selected euro area countries:
This paper investigates the extent to which inflation rates in selected euro area countries are synchronised. The synchronisation of inflation is analysed using the multiple-correlation and multiple cross correlation at different frequencies using the methodology of wavelets. This new measure of coh...
Gespeichert in:
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| Weitere Verfasser: | , |
| Format: | Elektronisch Buchkapitel |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2016
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| Schlagworte: | |
| Online-Zugang: | DE-384 DE-473 DE-824 DE-29 DE-739 DE-355 DE-20 DE-1028 DE-1049 DE-521 DE-861 DE-898 DE-92 DE-91 DE-573 DE-19 URL des Erstveröffentlichers |
| Zusammenfassung: | This paper investigates the extent to which inflation rates in selected euro area countries are synchronised. The synchronisation of inflation is analysed using the multiple-correlation and multiple cross correlation at different frequencies using the methodology of wavelets. This new measure of cohesion based on wavelets allows us to assess how synchronisation has fevolved across different frequencies. Our results indicate that inflation correlations are more apparent at lower frequencies and the co-movement grows with lower frequencies. When we allow the correlation to be analysed across different frequencies as well as over time, our results indicate that the correlation has increased after the formation of euro area probably because of the common monetary policy. Keywords: Co-movement, wavelets, time-frequency, inflation cycles JEL classification: C40, E31, E32, F44 |
| Beschreibung: | 1 Online-Ressource (13 Seiten) 21 x 28cm |
| DOI: | 10.1787/jbcma-2015-5jm26ttlxdd1 |
Internformat
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| 520 | |a This paper investigates the extent to which inflation rates in selected euro area countries are synchronised. The synchronisation of inflation is analysed using the multiple-correlation and multiple cross correlation at different frequencies using the methodology of wavelets. This new measure of cohesion based on wavelets allows us to assess how synchronisation has fevolved across different frequencies. Our results indicate that inflation correlations are more apparent at lower frequencies and the co-movement grows with lower frequencies. When we allow the correlation to be analysed across different frequencies as well as over time, our results indicate that the correlation has increased after the formation of euro area probably because of the common monetary policy. Keywords: Co-movement, wavelets, time-frequency, inflation cycles JEL classification: C40, E31, E32, F44 | ||
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Datensatz im Suchindex
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| spelling | Tiwari, Aviral Kumar Verfasser aut Frequency based co-movement of inflation in selected euro area countries Aviral Kumar Tiwari, Niyati Bhanja and Arif Billah Dar Paris OECD Publishing 2016 1 Online-Ressource (13 Seiten) 21 x 28cm txt rdacontent c rdamedia cr rdacarrier This paper investigates the extent to which inflation rates in selected euro area countries are synchronised. The synchronisation of inflation is analysed using the multiple-correlation and multiple cross correlation at different frequencies using the methodology of wavelets. This new measure of cohesion based on wavelets allows us to assess how synchronisation has fevolved across different frequencies. Our results indicate that inflation correlations are more apparent at lower frequencies and the co-movement grows with lower frequencies. When we allow the correlation to be analysed across different frequencies as well as over time, our results indicate that the correlation has increased after the formation of euro area probably because of the common monetary policy. Keywords: Co-movement, wavelets, time-frequency, inflation cycles JEL classification: C40, E31, E32, F44 Economics Euro Area Bhanja, Niyati ctb Dar, Arif Billah ctb https://doi.org/10.1787/jbcma-2015-5jm26ttlxdd1 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Tiwari, Aviral Kumar Frequency based co-movement of inflation in selected euro area countries Economics Euro Area |
| title | Frequency based co-movement of inflation in selected euro area countries |
| title_auth | Frequency based co-movement of inflation in selected euro area countries |
| title_exact_search | Frequency based co-movement of inflation in selected euro area countries |
| title_exact_search_txtP | Frequency based co-movement of inflation in selected euro area countries |
| title_full | Frequency based co-movement of inflation in selected euro area countries Aviral Kumar Tiwari, Niyati Bhanja and Arif Billah Dar |
| title_fullStr | Frequency based co-movement of inflation in selected euro area countries Aviral Kumar Tiwari, Niyati Bhanja and Arif Billah Dar |
| title_full_unstemmed | Frequency based co-movement of inflation in selected euro area countries Aviral Kumar Tiwari, Niyati Bhanja and Arif Billah Dar |
| title_short | Frequency based co-movement of inflation in selected euro area countries |
| title_sort | frequency based co movement of inflation in selected euro area countries |
| topic | Economics Euro Area |
| topic_facet | Economics Euro Area |
| url | https://doi.org/10.1787/jbcma-2015-5jm26ttlxdd1 |
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