Complex Dynamics in Macroeconomics: A Novel Approach

NEW TRENDS IN MACROECONOMICS, C. Diebolt and C. Kyrtsou, eds., Springer-Verlag, Berlin, September 2005

Posted: 23 Jun 2007

See all articles by Catherine Kyrtsou

Catherine Kyrtsou

University of Macedonia - Department of Economics; University of Strasbourg - BETA

Costas E. Vorlow

affiliation not provided to SSRN

Abstract

In this work we employ the Recurrence Quantification Analysis (RQA) framework, effective in discovering evidence of non-linear determinism and complex dynamics in short, noisy and irregular signals. We apply RQA to a set of US macroeconomic time series and simulated sequences in order to provide a classification based on topological aspects of their dynamics. Through RQA we can in general obtain useful information on the quality and complexity of the structure of the dynamics in an economy, as this is embedded in its macroeconomic time series.

Keywords: Recurrence Plots, Recurrence Quantification Analysis, Chaos,

Suggested Citation

Kyrtsou, Catherine and Vorlow, Constantinos Euripides, Complex Dynamics in Macroeconomics: A Novel Approach. NEW TRENDS IN MACROECONOMICS, C. Diebolt and C. Kyrtsou, eds., Springer-Verlag, Berlin, September 2005, Available at SSRN: https://ssrn.com/abstract=995990

Catherine Kyrtsou (Contact Author)

University of Macedonia - Department of Economics ( email )

Egnatia str., 156
Thessaloniki 54006
Greece

HOME PAGE: http://www.uom.gr/index.php?newlang=eng&tmima=3&categorymenu=2

University of Strasbourg - BETA

61 avenue de la ForĂȘt Noire
67085 Strasbourg Cedex
France

HOME PAGE: http://cournot2.u-strasbg.fr/users/beta/

Constantinos Euripides Vorlow

affiliation not provided to SSRN

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