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The Evolution of US and UK Real GDP Components in the Time-Frequency Domain: A Continuous Wavelet Analysis

Author

Listed:
  • Patrick M. Crowley

    (Texas A&M University)

  • Andrew Hughes Hallett

    (Texas A&M University
    George Mason University)

Abstract

Understanding the relationship between national income GDP expenditure components is a key part of the study of macroeconomics. The general aim of this study is to explore the relationship between the GDP expenditure components in the time-frequency domain and obtain some stylized facts. This research investigates the relationship between the cyclical components of growth in quarterly real GDP component data for the US and the UK by applying continuous wavelet analysis on cross comparisons of the data, from both within and between the two datasets. The results show that the cyclical interactions between consumption and investment are the most complex and most substantial at several different frequencies, but that there are several different cycles evident in the data at frequencies not associated with the conventional business cycle. The relationship of exports with other macroeconomic variables has also developed over time, which we surmise is likely due to the evolution of an international business cycle.

Suggested Citation

  • Patrick M. Crowley & Andrew Hughes Hallett, 2021. "The Evolution of US and UK Real GDP Components in the Time-Frequency Domain: A Continuous Wavelet Analysis," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(3), pages 233-261, December.
    • Handle: RePEc:spr:jbuscr:v:17:y:2021:i:3:d:10.1007_s41549-021-00062-6
    DOI: 10.1007/s41549-021-00062-6
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    References listed on IDEAS

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    More about this item

    Keywords

    Business cycles; Growth cycles; Time-frequency domain; Macroeconomic synchronization; Economic policy;
    All these keywords.

    JEL classification:

    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
    • F45 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Macroeconomic Issues of Monetary Unions
    • F62 - International Economics - - Economic Impacts of Globalization - - - Macroeconomic Impacts

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