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...
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| Format: | Elektronisch Artikel |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2016
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| Online-Zugang: | Volltext |
| 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 p.) 21 x 28cm. |
| DOI: | 10.1787/jbcma-2015-5jm26ttlxdd1 |
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| spelling | Tiwari, Aviral Kumar VerfasserIn 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 p.) 21 x 28cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource 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 MitwirkendeR ctb Dar, Arif Billah MitwirkendeR ctb Enthalten in OECD Journal: Journal of Business Cycle Measurement and Analysis Vol. 2015, no. 2, p. 1-13 volume:2015 year:2015 number:2 pages:1-13 FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/jbcma-2015-5jm26ttlxdd1 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_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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