G2TT
来源类型FEEM working papers "Note di lavoro" series
规范类型论文
Economic Cycles and Their Synchronization: A Survey of Spectral Properties
Lisa Sella; Gianna Vivaldo; Andreas Groth; Michael Ghil
发表日期2013
出处Economy and Society
出版年2013
语种英语
摘要The present work applies several advanced spectral methods to the analysis of macroeconomic fluctuations in three countries of the European Union: Italy, The Netherlands, and the United Kingdom. We focus here in particular on singular-spectrum analysis (SSA), which provides valuable spatial and frequency information of multivariate data and that goes far beyond a pure analysis in the time domain. The spectral methods discussed here are well established in the geosciences and life sciences, but not yet widespread in quantitative economics. In particular, they enable one to identify and describe nonlinear trends and dominant cycles | including seasonal and interannual components that characterize the deterministic behavior of each time series. These tools have already proven their robustness in the application on short and noisy data, and we demonstrate their usefulness in the analysis of the macroeconomic indicators of these three countries. We explore several fundamental indicators of the countries' real aggregate economy in a univariate, as well as a multivariate setting. Starting with individual single-channel analysis, we are able to identify similar spectral components among the analyzed indicators. Next, we consider combinations of indicators and countries, in order to take different effects of comovements into account. Since business cycles are cross-national phenomena, which show common characteristics across countries, our aim is to uncover hidden global behavior across the European economies. Results are compared with previous findings on the U.S. indicators (Groth et al., 2012). Finally, the analysis is extended to include several indicators from the U.S. economy, in order to examine its influence on the European market. *** Suggested citation: Sella, L., G. Vivaldo, A. Groth, M. Ghil, (2013), 'Economic Cycles and Their Synchronization: A Survey of Spectral Properties', Nota di Lavoro 105.2013, Milan, Italy: Fondazione Eni Enrico Mattei.
特色分类C15;C60;E32
关键词Advanced Spectral Methods European Business Cycle Frequency Domain Time Domain
URLhttps://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/economic-cycles-and-their-synchronization-a-survey-of-spectral-properties/
来源智库Fondazione Eni Enrico Mattei (Italy)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/118130
推荐引用方式
GB/T 7714
Lisa Sella,Gianna Vivaldo,Andreas Groth,et al. Economic Cycles and Their Synchronization: A Survey of Spectral Properties. 2013.
条目包含的文件
文件名称/大小 资源类型 版本类型 开放类型 使用许可
20131213123421Nota_d(71KB)智库出版物 限制开放CC BY-NC-SA浏览
20131213123514NDL201(1861KB)智库出版物 限制开放CC BY-NC-SA浏览
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Lisa Sella]的文章
[Gianna Vivaldo]的文章
[Andreas Groth]的文章
百度学术
百度学术中相似的文章
[Lisa Sella]的文章
[Gianna Vivaldo]的文章
[Andreas Groth]的文章
必应学术
必应学术中相似的文章
[Lisa Sella]的文章
[Gianna Vivaldo]的文章
[Andreas Groth]的文章
相关权益政策
暂无数据
收藏/分享
文件名: 20131213123421Nota_di_Lavoro.jpg
格式: JPEG
文件名: 20131213123514NDL2013-105.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。