Showing 3 results for Wavelet Transform
Mohammad Najar Firouz Jayi, Bahare Oryani, Mahdi Zolfaqari,
Volume 4, Issue 14 (12-2013)
Abstract
This report investigates the dominant factors influencing the price gap and the symmetry principle’s evaluation between the crude oil’s price and gasoline. In this regard, the Brent’s crude oil price, gasoline price in six European countries and the fluctuations of the euro vs. US dollar’s exchange rate over the period of 1/1/1999 to 8/25/2011 in weekly intervals are studied. For this purpose, linear models and nonlinear models, such as artificial neural network and wavelet transformation, are implemented. The results indicate insignificant impact of the mentioned parameters in short period price gap both for linear and nonlinear simulations, but nonlinear modeling explicates 92% of long period fluctuations in price gap. According to linear/nonlinear models the symmetry principle is accepted for short period fluctuations in crude oil’s price, but not for long periods.
Bita Shaygani, Asghar Abolhasani, Amir Behdad Salami, Ramin Khochiani,
Volume 5, Issue 17 (10-2014)
Abstract
Symmetry or asymmetry of the business cycle is an important issue in order to select the behavior patterns and prediction of macroeconomic fluctuations. Factors such as oil prices, the financial crisis, uncertainty, the delay on learning, etc., Can cause lack of symmetry in the cycle. Decomposition of the business cycle by wavelet transform, which is strong instrument for processing data, and reviews of the presence or absence of symmetry at each decomposed level, will allow to obtain more information about different frequencies of business cycle. This helps policy makers to adopt appropriate counter-cyclical policies. Wavelet analysis enabled us to investigate symmetry of high and low frequency components of seasonal GDP during 1989-2011. Using Wavelet Symlet was observed, which at least in the low-frequency component, there is asymmetry. Another advantage of this study is selecting model for prediction of each decomposed level separately. This would reduce forecast error.
Dr Saleh Taheri Bazkhaneh,
Volume 13, Issue 49 (12-2022)
Abstract
Monetary policy modeling is one of the important areas in macroeconomics, which has been expanded after the pioneering study of Taylor (1993) in the framework of the central bank's reaction function. By applying new econometric approaches, economists try to answer the controversies in the literature and provide new implications by evaluating the monetary policy and its relationship with macroeconomic stability. In this regard, the current research has used the continuous wavelet transform and its tools to investigate the relationship between monetary policy and the production gap, inflation deviation and the gap in the foreign exchange market in Iran's economy. The results show that in the period of 1989-2022, the central bank only in the short term (less than one year) puts the output gap under its target or affects it arbitrarily. This is important for the deviation of inflation from its long-term trend in the short-term and medium-term (1-4 years). Due to the intertwining of the monetary policy and the currency market, which is due to the lack of independence of the central bank, the tendency to suppress the exchange rate and the contagion of imbalances to the monetary base, the relationship between the monetary policy and the gap in the currency market is unstable.The information and analysis presented in the field of time-frequency, taking into account the developments of Iran's economy, can be useful for those interested in this field.
