Spectral Analysis as a Tool for Financial Policy: An Analysis of the Short-End of the British Term Structure |
| |
Authors: | Andrew Hughes Hallett Christian R. Richter |
| |
Affiliation: | (1) Cardiff University, Aberconway Building, Colum Drive, Cardiff, CF10 3EU, Wales, U.K. |
| |
Abstract: | In this paper, we show how to derive the spectra and cross-spectra of economic time series from an underlying econometric or VAR model. This allows us to conduct a proper frequency analysis evaluation of economic and financial variables on a reduced sample of data, without it being ruled out by the large sample requirements of direct spectral estimation. We show, in particular, how this can be done for time-varying models and time-varying spectra. We use our techniques to show how the behaviour of British interest rates changed during and following the ERM crisis of 1992/3. |
| |
Keywords: | interest rates time dependent spectral analysis behavioural finance learning monetary policy |
本文献已被 SpringerLink 等数据库收录! |
|