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...
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| Format: | Policy Research Working Paper |
| Language: | English en_US |
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World Bank, Washington, DC
2013
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| Online Access: | http://documents.worldbank.org/curated/en/2013/08/18124857/growth-volatility-analysis-using-wavelets http://hdl.handle.net/10986/16011 |
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okr-10986-160112021-04-23T14:03:27Z Growth and Volatility Analysis Using Wavelets Maslova, Inga Onder, Harun Sanghi, Apurva AMERICAN ECONOMIC ASSOCIATION AMERICAN ECONOMIC REVIEW AVERAGE GROWTH AVERAGE GROWTH RATE AVERAGE GROWTH RATES BLACK MARKET BLACK MARKET PREMIUM BUSINESS CYCLE BUSINESS CYCLE VOLATILITY BUSINESS CYCLES CAPITA GROWTH COMMODITY COMMODITY PRICE COMMODITY PRICES CONSUMPTION GROWTH CORRELATION ANALYSIS CORRELATION COEFFICIENT CORRELATIONS CREDIT CONSTRAINTS CROSS COUNTRY CUSTOMS UNION DATA AVAILABILITY DEBT DEBT CRISIS DEVELOPED COUNTRIES DEVELOPING COUNTRIES DEVELOPING ECONOMIES DEVELOPMENT POLICY DOMESTIC ECONOMY ECONOMIC ACTIVITIES ECONOMIC DECLINE ECONOMIC DOWNTURN ECONOMIC DOWNTURNS ECONOMIC GROWTH ECONOMIC MANAGEMENT ECONOMIC POLICY ECONOMIC REFORM ECONOMIC UNIONS ECONOMICS ESTIMATORS FINANCIAL DATA FLUCTUATIONS FOREIGN CURRENCIES FREE TRADE FUNCTIONAL FORM GROSS DOMESTIC PRODUCT GROWTH LITERATURE GROWTH PERFORMANCE GROWTH PROCESS GROWTH RATES GROWTH RELATIONSHIP HIGH INCOME HIGH INCOME COUNTRIES IMPACT OF VOLATILITY INCOME INCOME GROUP INCOMES INTERNATIONAL BUSINESS LINK BETWEEN VOLATILITY LONG RUN LONG-TERM GROWTH LOW INCOME LOW INCOME COUNTRIES LOW INCOME COUNTRY MACROECONOMIC DYNAMICS MARGINAL PROPENSITY MEDIUM TERM METHODOLOGY MIDDLE INCOME MONETARY UNION NEGATIVE EFFECT OUTPUT OUTPUT GROWTH PER CAPITA GROWTH PER CAPITA INCOME PER CAPITA INCOME LEVELS POLICY MAKERS POLICY RESEARCH POVERTY REDUCTION PURCHASING POWER PURCHASING POWER PARITY RAPID GROWTH REGIONAL INTEGRATION RESEARCH WORKING PAPERS RICH COUNTRIES RISK SHARING SHARP REDUCTION SIGNIFICANT CORRELATION STRUCTURAL BREAK TECHNIQUES TIME SERIES ANALYSIS VARIABILITY VOLATILITY wavelets growth acceleration 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. 2013-10-02T16:52:05Z 2013-10-02T16:52:05Z 2013-08 http://documents.worldbank.org/curated/en/2013/08/18124857/growth-volatility-analysis-using-wavelets http://hdl.handle.net/10986/16011 English en_US Policy Research Working Paper;No. 6578 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English en_US |
| topic |
AMERICAN ECONOMIC ASSOCIATION AMERICAN ECONOMIC REVIEW AVERAGE GROWTH AVERAGE GROWTH RATE AVERAGE GROWTH RATES BLACK MARKET BLACK MARKET PREMIUM BUSINESS CYCLE BUSINESS CYCLE VOLATILITY BUSINESS CYCLES CAPITA GROWTH COMMODITY COMMODITY PRICE COMMODITY PRICES CONSUMPTION GROWTH CORRELATION ANALYSIS CORRELATION COEFFICIENT CORRELATIONS CREDIT CONSTRAINTS CROSS COUNTRY CUSTOMS UNION DATA AVAILABILITY DEBT DEBT CRISIS DEVELOPED COUNTRIES DEVELOPING COUNTRIES DEVELOPING ECONOMIES DEVELOPMENT POLICY DOMESTIC ECONOMY ECONOMIC ACTIVITIES ECONOMIC DECLINE ECONOMIC DOWNTURN ECONOMIC DOWNTURNS ECONOMIC GROWTH ECONOMIC MANAGEMENT ECONOMIC POLICY ECONOMIC REFORM ECONOMIC UNIONS ECONOMICS ESTIMATORS FINANCIAL DATA FLUCTUATIONS FOREIGN CURRENCIES FREE TRADE FUNCTIONAL FORM GROSS DOMESTIC PRODUCT GROWTH LITERATURE GROWTH PERFORMANCE GROWTH PROCESS GROWTH RATES GROWTH RELATIONSHIP HIGH INCOME HIGH INCOME COUNTRIES IMPACT OF VOLATILITY INCOME INCOME GROUP INCOMES INTERNATIONAL BUSINESS LINK BETWEEN VOLATILITY LONG RUN LONG-TERM GROWTH LOW INCOME LOW INCOME COUNTRIES LOW INCOME COUNTRY MACROECONOMIC DYNAMICS MARGINAL PROPENSITY MEDIUM TERM METHODOLOGY MIDDLE INCOME MONETARY UNION NEGATIVE EFFECT OUTPUT OUTPUT GROWTH PER CAPITA GROWTH PER CAPITA INCOME PER CAPITA INCOME LEVELS POLICY MAKERS POLICY RESEARCH POVERTY REDUCTION PURCHASING POWER PURCHASING POWER PARITY RAPID GROWTH REGIONAL INTEGRATION RESEARCH WORKING PAPERS RICH COUNTRIES RISK SHARING SHARP REDUCTION SIGNIFICANT CORRELATION STRUCTURAL BREAK TECHNIQUES TIME SERIES ANALYSIS VARIABILITY VOLATILITY wavelets growth acceleration |
| spellingShingle |
AMERICAN ECONOMIC ASSOCIATION AMERICAN ECONOMIC REVIEW AVERAGE GROWTH AVERAGE GROWTH RATE AVERAGE GROWTH RATES BLACK MARKET BLACK MARKET PREMIUM BUSINESS CYCLE BUSINESS CYCLE VOLATILITY BUSINESS CYCLES CAPITA GROWTH COMMODITY COMMODITY PRICE COMMODITY PRICES CONSUMPTION GROWTH CORRELATION ANALYSIS CORRELATION COEFFICIENT CORRELATIONS CREDIT CONSTRAINTS CROSS COUNTRY CUSTOMS UNION DATA AVAILABILITY DEBT DEBT CRISIS DEVELOPED COUNTRIES DEVELOPING COUNTRIES DEVELOPING ECONOMIES DEVELOPMENT POLICY DOMESTIC ECONOMY ECONOMIC ACTIVITIES ECONOMIC DECLINE ECONOMIC DOWNTURN ECONOMIC DOWNTURNS ECONOMIC GROWTH ECONOMIC MANAGEMENT ECONOMIC POLICY ECONOMIC REFORM ECONOMIC UNIONS ECONOMICS ESTIMATORS FINANCIAL DATA FLUCTUATIONS FOREIGN CURRENCIES FREE TRADE FUNCTIONAL FORM GROSS DOMESTIC PRODUCT GROWTH LITERATURE GROWTH PERFORMANCE GROWTH PROCESS GROWTH RATES GROWTH RELATIONSHIP HIGH INCOME HIGH INCOME COUNTRIES IMPACT OF VOLATILITY INCOME INCOME GROUP INCOMES INTERNATIONAL BUSINESS LINK BETWEEN VOLATILITY LONG RUN LONG-TERM GROWTH LOW INCOME LOW INCOME COUNTRIES LOW INCOME COUNTRY MACROECONOMIC DYNAMICS MARGINAL PROPENSITY MEDIUM TERM METHODOLOGY MIDDLE INCOME MONETARY UNION NEGATIVE EFFECT OUTPUT OUTPUT GROWTH PER CAPITA GROWTH PER CAPITA INCOME PER CAPITA INCOME LEVELS POLICY MAKERS POLICY RESEARCH POVERTY REDUCTION PURCHASING POWER PURCHASING POWER PARITY RAPID GROWTH REGIONAL INTEGRATION RESEARCH WORKING PAPERS RICH COUNTRIES RISK SHARING SHARP REDUCTION SIGNIFICANT CORRELATION STRUCTURAL BREAK TECHNIQUES TIME SERIES ANALYSIS VARIABILITY VOLATILITY wavelets growth acceleration Maslova, Inga Onder, Harun Sanghi, Apurva Growth and Volatility Analysis Using Wavelets |
| relation |
Policy Research Working Paper;No. 6578 |
| description |
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. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Maslova, Inga Onder, Harun Sanghi, Apurva |
| author_facet |
Maslova, Inga Onder, Harun Sanghi, Apurva |
| author_sort |
Maslova, Inga |
| title |
Growth and Volatility Analysis Using Wavelets |
| title_short |
Growth and Volatility Analysis Using Wavelets |
| title_full |
Growth and Volatility Analysis Using Wavelets |
| title_fullStr |
Growth and Volatility Analysis Using Wavelets |
| title_full_unstemmed |
Growth and Volatility Analysis Using Wavelets |
| title_sort |
growth and volatility analysis using wavelets |
| publisher |
World Bank, Washington, DC |
| publishDate |
2013 |
| url |
http://documents.worldbank.org/curated/en/2013/08/18124857/growth-volatility-analysis-using-wavelets http://hdl.handle.net/10986/16011 |
| _version_ |
1764432022965583872 |