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Spectral Analysis for Economic Time Series

In: New Tools of Economic Dynamics

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  • Alessandra Iacobucci

    (OFCE
    CNRS - IDEFI)

Abstract

Summary The last ten years have witnessed an increasing interest of the econometrics community in spectral theory. In fact, decomposing the series evolution in periodic contributions allows a more insightful view of its structure and of its cyclical behavior at different time scales. In this paper, the issues of cross-spectral analysis and filtering are concisely broached, dwelling in particular upon the windowed filter [15]. In order to show the usefulness of these tools, an application to real data — namely to US unemployment and inflation — is presented. By means of cross spectral analysis and filtering, a correlation can be found between these two quantities (i.e. the Phillips curve) in some specific frequency bands, even if it does not appear in raw data.

Suggested Citation

  • Alessandra Iacobucci, 2005. "Spectral Analysis for Economic Time Series," Lecture Notes in Economics and Mathematical Systems, in: Jacek Leskow & Lionello F. Punzo & Martín Puchet Anyul (ed.), New Tools of Economic Dynamics, chapter 12, pages 203-219, Springer.
    • Handle: RePEc:spr:lnechp:978-3-540-28444-4_12
    DOI: 10.1007/3-540-28444-3_12
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    References listed on IDEAS

    as
    1. Christian J. Murray, 2003. "Cyclical Properties of Baxter-King Filtered Time Series," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 472-476, May.
    2. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    3. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, May.
    4. Luca Benati, 2001. "Band-pass filtering, cointegration, and business cycle analysis," Bank of England working papers 142, Bank of England.
    5. Haldane, Andrew & Quah, Danny, 1999. "UK Phillips curves and monetary policy," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 259-278, October.
    6. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
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    More about this item

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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