Frequency domain methods are not regularly applied in economics, and yet there are now many different techniques available that allow us to analyze economic behavior at different cycle lengths or frequency responses, and the interactions between them. Frequency domain methods are particularly relevant in macroeconomics where the time horizon for event transmission and policy changes is important and difficult to capture with standard empirical techniques. The most obvious applications of frequency domain techniques in macroeconomics centre around the dynamics of economic growth, the relationship between money and prices, inflation dynamics and financial market integration.
The main objective of this workshop is to share innovative macroeconomic research using frequency domain methods and also to initiate greater collaboration between economists who work in this area. A broader objective will be to demonstrate the usefulness of these techniques in empirical macroeconomics so as to generate wider acceptance of these techniques.
(Workshop material updated 24 October 2011)
Thursday 20 October 2011
| 9.00 | | Opening words |
| | | Jouko Vilmunen, Bank of Finland Patrick Crowley, Texas A&M University – Corpus Christi |
| 9.10 | Session 1 | Macroeconomic growth |
| | Chair | Christian Richter, University of East London & INFER |
| | Presentation | Overview using frequency domain techniques with US GNP growth data |
| | Author(s) | Patrick Crowley, Texas A&M University – Corpus Christi |
| | Paper Presentation | Identification and reconstruction of oscillatory modes in U.S. business cycles using multivariate singular spectrum analysis |
| | Author(s) | Andreas Groth, Ecole Normale Supérieure Michael Ghil, Ecole Normale Supérieure Stéphane Hallegatte, CIRED & Ecole Nationale de la Météorologie Patrice Dumas, Ecole Normale Supérieure |
| | Discussant | Andrew Hughes Hallett, Georgia Mason University |
| | Paper Presentation | The continuous wavelet transform: a primer |
| | Author(s) | Luís Aguiar-Conraria, Universidade do Minho Maria Soares, Universidade do Minho |
| | Comments | Tommi A. Vuorenmaa, Triangle Intelligence |
| 10.40 | | Coffee |
| 11.00 | Session 2 | Macro-finance |
| | Chair | Fredrik Andersson, Lund University |
| | Paper Presentation | Volatility spillovers in Asian bond market: a wavelet analysis |
| | Author(s) | Lixia Loh, EDHEC-Risk Institute Asia, EDHEC Business School |
| | Paper Presentation | Frequency-domain analysis of debt service in a macro-finance model for the euro area |
| | Author(s) | Jean-Paul Renne, Banque de France |
| | Paper Presentation | Wavelet analysis of real loans |
| | Author(s) | Michael Scharnagl, Deutsche Bundesbank |
| | Discussant | Peter Karpestam, Lund University |
| 12.30 | | Lunch, staff restaurant |
| 14.00 | Session 3 | Financial crises and contagion |
| | Chair | Martyna Marczak, University of Hohenheim |
| | Paper Presentation | Short and long term growth effects of financial crises in developing countries |
| | Author(s) | Fredrik Andersson, Lund University Peter Karpestam, Lund University |
| | Paper Presentation | Has the financial crisis changed the business cycle characteristics of PIIGS countries? |
| | Author(s) | Christian Richter, University of East London Andrew Hughes Hallett, George Mason University |
| | Comments | Hens Steehouwer, Ortec Finance Research Center |
| | Paper Presentation | Is there a contagion? A frequency-domain analysis of stock market comovements during the subprime crisis |
| | Author(s) | Alexei Orlov, Radford University |
| | Comments | Lixia Loh, EDHEC-Risk Institute Asia, EDHEC Business School |
| 15.30 | | Coffee |
| 16.00 | Session 4 | Applications in macroeconomics |
| | Chair | Patrick Crowley, Texas A&M University – Corpus Christi |
| | Paper Presentation | Productivity and unemployment scale-by-scale relationship |
| | Author(s) | Marco Gallegati, Universitá Politecnica delle Marche Mauro Gallegati, Universitá Politecnica delle Marche James Ramsey, New York University Willi Semmler, New School University |
| | Paper Presentation | Real wages and the business cycle in Germany |
| | Author(s) | Martyna Marczak, University of Hohenheim Thomas Beissinger, University of Hohenheim |
| | Comments | Jouko Vilmunen, Bank of Finland |
| 17.30 | | Dinner, personnel club |
Friday 21 October 2011
| 9.30 | Session 1 | New methodological developments |
| | Chair | Marco Gallegati, Universitá Politecnica delle Marche |
| | Paper Presentation | Unit root tests with wavelets |
| | Author(s) | Ramazan Gençay, Simon Fraser University Yanqin Fan, Vanderbilt University |
| | Paper Presentation | A zero phase shift band pass filter |
| | Author(s) | Kai Ming Lee, Ortec Finance Research Center Hens Steehouwer, Ortec Finance Research Center |
| | Paper Presentation | How to make a time series sing like a choir |
| | Author(s) | Patrick Crowley, Texas A&M University – Corpus Christi |
| | Discussant | Jean-Paul Renne, Banque de France |
| 11.00 | | Coffee |
| 11.15 | | Keynote address |
| | Speech Presentation | Retrospective: A decade's progress James Ramsey, New York University |
| 12.15 | | Lunch, auditorium lobby |
| 13.45 | Session 2 | Financial economics applications |
| | Chair | Alexei Orlov, Radford University |
| | Paper Presentation |
A persistence based decomposition of macroeconomic and financial time series |
| | Author(s) | Fulvio Ortu, Bocconi University & IGIER Andrea Tamoni, Bocconi University Claudio Tebaldi, Bocconi University & IGIER & CAREFIN |
| | Paper Presentation | Credit and economic cycles some stylised facts |
| | Author(s) | Feng Zhu, Bank for International Settlements |
| | Discussant | Ramazan Gençay, Simon Fraser University |
| 15.00 | | Closing words |
| | | Jouko Vilmunen and Patrick Crowley |