{"title":"在选定的欧元区国家通货膨胀的频率为基础的共同运动","authors":"A. Tiwari, Niyati Bhanja, A. B. Dar","doi":"10.1787/JBCMA-2015-5JM26TTLXDD1","DOIUrl":null,"url":null,"abstract":"This paper investigates the extent to which inflation rates in selected euro area countries are synchronised. The synchronisation of inflation is analysed using the multiple-correlation and multiple cross correlation at different frequencies using the methodology of wavelets. This new measure of cohesion based on wavelets allows us to assess how synchronisation has fevolved across different frequencies. Our results indicate that inflation correlations are more apparent at lower frequencies and the co-movement grows with lower frequencies. When we allow the correlation to be analysed across different frequencies as well as over time, our results indicate that the correlation has increased after the formation of euro area probably because of the common monetary policy.Keywords: Co-movement, wavelets, time-frequency, inflation cycles JEL classification: C40, E31, E32, F44","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2016-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":"{\"title\":\"Frequency based co-movement of inflation in selected euro area countries\",\"authors\":\"A. Tiwari, Niyati Bhanja, A. B. Dar\",\"doi\":\"10.1787/JBCMA-2015-5JM26TTLXDD1\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper investigates the extent to which inflation rates in selected euro area countries are synchronised. The synchronisation of inflation is analysed using the multiple-correlation and multiple cross correlation at different frequencies using the methodology of wavelets. This new measure of cohesion based on wavelets allows us to assess how synchronisation has fevolved across different frequencies. Our results indicate that inflation correlations are more apparent at lower frequencies and the co-movement grows with lower frequencies. When we allow the correlation to be analysed across different frequencies as well as over time, our results indicate that the correlation has increased after the formation of euro area probably because of the common monetary policy.Keywords: Co-movement, wavelets, time-frequency, inflation cycles JEL classification: C40, E31, E32, F44\",\"PeriodicalId\":313514,\"journal\":{\"name\":\"Oecd Journal: Journal of Business Cycle Measurement and Analysis\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-06-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"7\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Oecd Journal: Journal of Business Cycle Measurement and Analysis\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1787/JBCMA-2015-5JM26TTLXDD1\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1787/JBCMA-2015-5JM26TTLXDD1","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Frequency based co-movement of inflation in selected euro area countries
This paper investigates the extent to which inflation rates in selected euro area countries are synchronised. The synchronisation of inflation is analysed using the multiple-correlation and multiple cross correlation at different frequencies using the methodology of wavelets. This new measure of cohesion based on wavelets allows us to assess how synchronisation has fevolved across different frequencies. Our results indicate that inflation correlations are more apparent at lower frequencies and the co-movement grows with lower frequencies. When we allow the correlation to be analysed across different frequencies as well as over time, our results indicate that the correlation has increased after the formation of euro area probably because of the common monetary policy.Keywords: Co-movement, wavelets, time-frequency, inflation cycles JEL classification: C40, E31, E32, F44