How Hard is the Euro Area Core? An Evaluation of Growth Cycles Using Wavelet Analysis

46 Pages Posted: 16 Oct 2007

See all articles by David G. Mayes

David G. Mayes

University of Auckland (Deceased)

Patrick M. Crowley

Texas A&M University - Corpus Christi; Bank of Finland/Suomen Pankki

Douglas Maraun

University of Potsdam

Date Written: 2006

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.

Keywords: time-varying spectral analysis, coherence, phase, business cycles, EMU, growth cycles, Hilbert transform, wavelet analysis

JEL Classification: C19, C63, C65, E32, E39, E58, F40

Suggested Citation

Mayes, David G. and Crowley, Patrick M. and Maraun, Douglas, How Hard is the Euro Area Core? An Evaluation of Growth Cycles Using Wavelet Analysis (2006). Bank of Finland Research Discussion Paper No. 18/2006. Available at SSRN: https://ssrn.com/abstract=1019955 or http://dx.doi.org/10.2139/ssrn.1019955

David G. Mayes (Contact Author)

University of Auckland (Deceased)

Private Bag 92019
Auckland Mail Centre
Auckland, 1142
New Zealand

Patrick M. Crowley

Texas A&M University - Corpus Christi ( email )

6300 Ocean Drive, Unit #5808
Corpus Christi, TX 78412
United States

HOME PAGE: http://patrickmcrowley.com

Bank of Finland/Suomen Pankki ( email )

P.O. Box 160
FIN-00101 Helsinki
Finland

Douglas Maraun

University of Potsdam ( email )

August-Bebel Strasse 89
Potsdam, 14482
Germany

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