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A new approach to causality in the frequency domain

Author

Listed:
  • Mehmet Dalkir

    (University of Kansas)

Abstract

This study refers to the earlier work of analysis in the frequency domain. A different definition of causality is made, and its implications to the general idea of causality are discussed. The causality relationship between two monetary aggregates, simple sum and Divisia indices, and their relation with the personal income is analyzed using wavelet time-scale decomposition.

Suggested Citation

  • Mehmet Dalkir, 2004. "A new approach to causality in the frequency domain," Economics Bulletin, AccessEcon, vol. 3(44), pages 1-14.
    • Handle: RePEc:ebl:ecbull:eb-04c40008
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    Citations

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    Cited by:

    1. Benhmad, François, 2013. "Dynamic cyclical comovements between oil prices and US GDP: A wavelet perspective," Energy Policy, Elsevier, vol. 57(C), pages 141-151.
    2. Cifter, Atilla & Ozun, Alper, 2007. "Multi-scale Causality between Energy Consumption and GNP in Emerging Markets: Evidence from Turkey," MPRA Paper 2483, University Library of Munich, Germany.
    3. Crowley, Patrick M., 2005. "An intuitive guide to wavelets for economists," Bank of Finland Research Discussion Papers 1/2005, Bank of Finland.
    4. Foued Saâdaoui, 2013. "The Price and Trading Volume Dynamics Relationship in the EEX Power Market: A Wavelet Modeling," Computational Economics, Springer;Society for Computational Economics, vol. 42(1), pages 47-69, June.
    5. Cifter Atilla & Ozun Alper, 2008. "Estimating the Effects of Interest Rates on Share Prices in Turkey Using a Multi-Scale Causality Test," Review of Middle East Economics and Finance, De Gruyter, vol. 4(2), pages 68-79, April.
    6. Benhmad, François, 2012. "Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach," Economic Modelling, Elsevier, vol. 29(4), pages 1505-1514.
    7. Tiwari, Aviral Kumar, 2012. "Decomposing Time-Frequency Relationship between Interest Rates and Share Prices in India through Wavelets," MPRA Paper 39693, University Library of Munich, Germany.
    8. Chi-Wei Su & Xiao-Cui Yin & Ran Tao, 2018. "How do housing prices affect consumption in China? New evidence from a continuous wavelet analysis," PLOS ONE, Public Library of Science, vol. 13(9), pages 1-14, September.
    9. Mala Raghavan & Jonathan Dark & Elizabeth Ann Maharaj, 2010. "Impact of capital control measures on the Malaysian stock market," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 6(2), pages 116-127, April.
    10. Muhammad Nadim Hanif & Javaid Iqbal & Syed Hamza Ali & Muhammad Abdus Salam, 2020. "Denoised Inflation: A New Measure of Core Inflation," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 131-154.
    11. Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, April.
    12. Nathan Zavanelli, 2023. "Wavelet Analysis for Time Series Financial Signals via Element Analysis," Papers 2301.13255, arXiv.org.
    13. Atilla Cifter & Alper Ozun, 2008. "Multiscale Systematic Risk: an Application on the ISE-30," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 10(38), pages 1-24.
    14. Xiaojie Xu, 2018. "Causal structure among US corn futures and regional cash prices in the time and frequency domain," Journal of Applied Statistics, Taylor & Francis Journals, vol. 45(13), pages 2455-2480, October.
    15. Alzahrani, Mohammed & Masih, Mansur & Al-Titi, Omar, 2014. "Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 175-201.
    16. repec:zbw:bofrdp:2005_001 is not listed on IDEAS
    17. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
    18. Patrick Crowley, 2005. "An intuitive guide to wavelets for economists," Econometrics 0503017, University Library of Munich, Germany.
    19. Xiaojie Xu, 2018. "Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis," Empirical Economics, Springer, vol. 54(3), pages 1267-1295, May.

    More about this item

    Keywords

    aggregation theory;

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C0 - Mathematical and Quantitative Methods - - General

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