Growth and Volatility Analysis Using Wavelets
The magnitude and persistence of growth in gross domestic product are topics of intense scrutiny by economists. Although the existing techniques provide a range of tools to study the nature of growth and volatility time series, these usually come w...
| Main Authors: | , , |
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| Format: | Policy Research Working Paper |
| Language: | English en_US |
| Published: |
World Bank, Washington, DC
2013
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| Subjects: | |
| Online Access: | http://documents.worldbank.org/curated/en/2013/08/18124857/growth-volatility-analysis-using-wavelets http://hdl.handle.net/10986/16011 |
| Summary: | The magnitude and persistence of growth
in gross domestic product are topics of intense scrutiny by
economists. Although the existing techniques provide a range
of tools to study the nature of growth and volatility time
series, these usually come with shortcomings, including the
need to arbitrarily define acceleration spells, and focus on
a particular frequency at a time. This paper explores the
application of "wavelet-based" techniques to study
the time-varying nature of growth and volatility. These
techniques lend themselves to a more robust analysis of
short-term and long-term determinants of growth and
volatility than the traditional decomposition techniques, as
demonstrated on a small sample of countries. In addition to
having desirable technical advantages, such as localization
in time and frequency and the ability to work with
non-stationary series, these techniques also make it
possible to accurately decompose the association between
growth trajectories of different countries over different
time horizons. Such "co-movement" analysis can
provide policy makers with important insights on regional
integration, growth poles, and how short and long term
developments in other countries affect their domestic economy. |
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