A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach

In this paper, we test the instability of comovement, in time and frequency domain, for the GDP growth rate of the US and the UK. We use the frequency approach, which is based on evolutionary spectral analysis (Priestley, 1965-1996). The graphical analysis of the Time-Varying Coherence Function (TVCF) reports the existence of variability in correlation between the two series. Our goal is to estimate first the TVCF of the two series, then to test stability in both the cross-spectra density and in TVCF by detecting various breakpoints in each function.comovement ; spectral analysis ; time-varying coherence function ; structural change

A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach

In this paper, we test the instability of comovement, in time and frequency domain, for the GDP growth rate of the US and the UK. We use the frequency approach, which is based on evolutionary spectral analysis (Priestley, 1965-1996). The graphical analysis of the Time-Varying Coherence Function (TVCF) reports the existence of variability in correlation between the two series. Our goal is to estimate first the TVCF of the two series, then to test stability in both the cross-spectra density and in TVCF by detecting various breakpoints in each function.comovement ; spectral analysis ; time-varying coherence function ; structural change

A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach

In this paper, we suggest a different dynamic measure of comovement which is unlike previous studies allowing to test instability in comovement between two non stationary economic time series. We use the frequency approach, which is based on evolutionary spectral analysis, to estimate the Time-Varying Coherence Function (TVCF). Then we test stability in both cross-spectra and TVCF by detecting endogenously various break points in each function. Applying this new methodology to the GDP growth rate of the US and UK, we get an interesting result about period of business cycle convergence and divergence for these economies.Comovement, Spectral Analysis, Time Varying Coherence Function, Structural Change

The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

In this paper, we are interested in testing for contagion caused by the Thai bath collapse in July 1997. In line with earlier work, shift-contagion is defined as a structural change in the international propagation mechanisms of financial shocks. We adopt the Bai and Perron's (1998) structural break approach to detect the endogenous break points in the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach allows solving the misspecification problem of crisis window. Our results indicate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.sequential selection procedure ; shift-contagion ; time-varying correlation

The inflation Targeting effect on the inflation series: ANew Analysis Approach of evolutionary spectral analysis

In this work, we study the inflation targeting effect on the inflation dynamics in the case of four industrial countries. Our objective is to check whether the inflation targeting policy (ITP) has a significant impact on the change of the inflation path. We use a non-parametric approach that doesn't require any previous modelling. This is the evolutionary spectral analysis, as defined by Priestley (1965-1996). Then, we use a test that can detect many break points on the timeseries. This test is inspired by Subba Rao (1981). We use an extension to this test to allow the detection of multiple breaks. We base this on the extension ofAhamada and Boutahar (2002). This is the first time that this method is used in the case of inflation-targeting countries. We find that the inflation-targeting policyhad a transition period for countries that had a high and volatile inflation experience before the inflation-targeting adoption. There is the case of New Zealand,Canada and Sweden. In these countries, we identify a structural change in the inflation series resulting to the inflation targeting intervention. However, In thecase of other countries like United Kingdom that have a relatively lower inflation rate experience before the ITP adoption, we didn't find a break point caused by this monetary policy intervention. In this case, the ITP had a role of ensuring this price stability. This result is explained by the fact that the inflation targetingis relevant when the initial inflation to be stabilized is near the target range (Artus, 2004). So, in this paper we justify the intuition of Artus (2004). The second result in our paper consists on the nature of inflation stabilization during the inflation-targeting period. The results proof a long-term stabilization on the inflation dynamic in the period of IT. These results traduce the success of this new framework to anchor the inflation expectation anchoring. So, we can conclude thatthis policy is preferment to ensure price stability in the case of industrials countries.inflation targeting, spectral analysis and structural change

The transition period before the inflation targeting policy

In this paper, we study the inflation dynamics in an industrial inflation-targeting country (New Zealand). Our objective is to check if the inflation targeting policy has a transition period or not. Loosely speaking, we try to give some response to the famous debate: if the inflation targeting is a framework or a simple monetaryrule. For this purpose, we use a frequency approach: Evolutionary Spectral Analysis, as defined by Priestley (1965-1996). Then, we detect endogenously a structuralbreak point in inflation series, by applying a non-parametric test. This is the first time that this method is used in the case of inflation-targeting countries. Our main finding is that the adoption of the inflation-targeting policy in New Zealand was characterized by a transition period before the adoption of this framework. This period was characterized by many radical reforms, which caused a structuralbreak in the New Zealand inflation series. These reforms were made to lead back the inflation close to the initial target. In addition, these reforms increased the transparency and the credibility of the monetary policy. We conclude from our frequency analysis that the inflation series becomes stable in long-term after the adoption of the inflation targeting. This can be a justification of the effectiveness of this policy to ensure the price stability.New Zealand; inflation targeting; spectral analysis and structural change

The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perron's (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.Shift-contagion; time-varying correlation; sequential selection procedure

The transition period before the inflation targeting policy

Working Paper GATE 2008-30In this paper, we study the inflation dynamics in an industrial inflation-targeting country (New Zealand). Our objective is to check if the inflation targeting policy has a transition period or not. Loosely speaking, we try to give some response to the famous debate: if the inflation targeting is a framework or a simple monetaryrule. For this purpose, we use a frequency approach: Evolutionary Spectral Analysis, as defined by Priestley (1965-1996). Then, we detect endogenously a structuralbreak point in inflation series, by applying a non-parametric test. This is the first time that this method is used in the case of inflation-targeting countries. Our main finding is that the adoption of the inflation-targeting policy in New Zealand was characterized by a transition period before the adoption of this framework. This period was characterized by many radical reforms, which caused a structuralbreak in the New Zealand inflation series. These reforms were made to lead back the inflation close to the initial target. In addition, these reforms increased the transparency and the credibility of the monetary policy. We conclude from our frequency analysis that the inflation series becomes stable in long-term after the adoption of the inflation targeting. This can be a justification of the effectiveness of this policy to ensure the price stability

The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perrons (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.Shift-contagion, Time-varying correlation, Sequential selection procedure

The inflation Targeting effect on the inflation series: A<br />New Analysis Approach of evolutionary spectral analysis

Working Paper GATE 2008-32In this work, we study the inflation targeting effect on the inflation dynamics in the case of four industrial countries. Our objective is to check whether the inflation targeting policy (ITP) has a significant impact on the change of the inflation path. We use a non-parametric approach that doesn't require any previous modelling. This is the evolutionary spectral analysis, as defined by Priestley (1965-1996). Then, we use a test that can detect many break points on the timeseries. This test is inspired by Subba Rao (1981). We use an extension to this test to allow the detection of multiple breaks. We base this on the extension ofAhamada and Boutahar (2002). This is the first time that this method is used in the case of inflation-targeting countries. We find that the inflation-targeting policyhad a transition period for countries that had a high and volatile inflation experience before the inflation-targeting adoption. There is the case of New Zealand,Canada and Sweden. In these countries, we identify a structural change in the inflation series resulting to the inflation targeting intervention. However, In thecase of other countries like United Kingdom that have a relatively lower inflation rate experience before the ITP adoption, we didn't find a break point caused by this monetary policy intervention. In this case, the ITP had a role of ensuring this price stability. This result is explained by the fact that the inflation targetingis relevant when the initial inflation to be stabilized is near the target range (Artus, 2004). So, in this paper we justify the intuition of Artus (2004). The second result in our paper consists on the nature of inflation stabilization during the inflation-targeting period. The results proof a long-term stabilization on the inflation dynamic in the period of IT. These results traduce the success of this new framework to anchor the inflation expectation anchoring. So, we can conclude thatthis policy is preferment to ensure price stability in the case of industrials countries