How hard is the euro area core? : an evaluation of growth cycles using wavelet analysis

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Title: How hard is the euro area core? : an evaluation of growth cycles using wavelet analysis
ISBN: 952-462-300-5
Author: Crowley, Patrick M. ; Maraun, Douglas ; Mayes, David
Organization: Suomen Pankki
Series: Bank of Finland Research Discussion Papers
ISSN: 1456-6184
Series year: 2006
Series number: 18/2006
Year of publication: 2006
Publication date: 8.6.2006
Published in: Published in Journal of Business Cycle Measurement and Analysis, No. 4, Volume: 2008, Issue 1: 63-95
Pages: 41 s.
Keywords: euroalue; bkt; talouskasvu; EMU; Italia; Saksa; Ranska; suhdanteet; riippuvuudet;
JEL: C19; C63; C65; E32; E39; E58; F40
Abstract: Using recent advances in time-varying spectral methods, this research analyses the growth cycles of the core of the euro area in terms of frequency content and phasing of cycles.The methodology uses the continuous wavelet transform (CWT) and also Hilbert wavelet pairs in the setting of a non-decimated discrete wavelet transform in order to analyse bivariate time series in terms of conventional frequency domain measures from spectral analysis.The findings are that coherence and phasing between the three core members of the euro area (France, Germany and Italy) have increased since the launch of the euro. Key words: time-varying spectral analysis, coherence, phase, business cycles, EMU, growth cycles, Hilbert transform, wavelet analysis JEL classification numbers: C19, C63, C65, E32, E39, E58, F40

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