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Long waves in prices: new evidence from wavelet analysis

Author

Listed:
  • Marco Gallegati

    (Università Politecnica delle Marche)

  • Mauro Gallegati

    (Università Politecnica delle Marche)

  • James B. Ramsey

    (New York University)

  • Willi Semmler

    (New School for Social Research
    CEM University of Bielefeld)

Abstract

In this paper we apply wavelet analysis to study the dynamics of long-term movements in wholesale prices for the USA, the UK and France over the period 1791–2012. The application of wavelet analysis to long-term historical price series allows us to detect long waves in prices whose periodization is remarkably similar to those provided in the literature for the pre-World War II period. Moreover, we find evidence on the existence of long waves in prices also after World War II, a period in which long waves are generally difficult to detect because of the positive trend displayed by prices. The comparison between the long wave components extracted through wavelets and the Christiano–Fitzgerald band-pass filter suggests that wavelets provide a reliable and straightforward technique for analyzing long waves dynamics in time series exhibiting quite complex patterns such as historical data.

Suggested Citation

  • Marco Gallegati & Mauro Gallegati & James B. Ramsey & Willi Semmler, 2017. "Long waves in prices: new evidence from wavelet analysis," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 11(1), pages 127-151, January.
    • Handle: RePEc:spr:cliomt:v:11:y:2017:i:1:d:10.1007_s11698-015-0137-y
    DOI: 10.1007/s11698-015-0137-y
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    7. Gerdesmeier Dieter & Roffia Barbara & Reimers Hans-Eggert, 2020. "Unravelling the Secrets of Inflation in the Euro Area – A Frequency Decomposition Approach," Folia Oeconomica Stetinensia, Sciendo, vol. 20(1), pages 133-162, June.
    8. Gallegati, Marco & Giri, Federico & Fratianni, Michele, 2019. "Money growth and inflation: International historical evidence on high inflation episodes for developed countries," Bank of Finland Research Discussion Papers 1/2019, Bank of Finland.
    9. Pierre Rostan & Alexandra Rostan & John Wall, 2024. "Measuring the Resilience to the Covid-19 Pandemic of Eurozone Economies with Their 2050 Forecasts," Computational Economics, Springer;Society for Computational Economics, vol. 63(3), pages 1137-1157, March.
    10. Gerdesmeier, Dieter & Roffia, Barbara & Reimers, Hans-Eggert, 2018. "Unravelling the secrets of euro area inflation: A frequency decomposition approach," Wismar Discussion Papers 06/2018, Hochschule Wismar, Wismar Business School.
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    More about this item

    Keywords

    Long waves; Wavelets; Band-pass filter; Wholesale prices;
    All these keywords.

    JEL classification:

    • B1 - Schools of Economic Thought and Methodology - - History of Economic Thought through 1925
    • B2 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925
    • B5 - Schools of Economic Thought and Methodology - - Current Heterodox Approaches
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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