OECD Journal: Journal of Business Cycle Measurement and Analysis
- Discontinued
The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.
- Semiannual
- ISSN: 19952899 (online)
- https://doi.org/10.1787/19952899
Frequency based co-movement of inflation in selected euro area countries
This paper investigates the extent to which inflation rates in selected euro area countries are synchronised. The synchronisation of inflation is analysed using the multiple-correlation and multiple cross correlation at different frequencies using the methodology of wavelets. This new measure of cohesion based on wavelets allows us to assess how synchronisation has fevolved across different frequencies. Our results indicate that inflation correlations are more apparent at lower frequencies and the co-movement grows with lower frequencies. When we allow the correlation to be analysed across different frequencies as well as over time, our results indicate that the correlation has increased after the formation of euro area probably because of the common monetary policy.
Keywords: Co-movement, wavelets, time-frequency, inflation cycles
JEL classification: C40, E31, E32, F44
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