Examining financial and business cycle interaction using cross recurrence plot analysis

Ashe, Sinéad; Egan, Paul

doi:10.1016/j.frl.2022.103461

Cited by 9 publications

(4 citation statements)

References 24 publications

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“…At the same time, we intend to investigate crossrecurrences between energy indices and different technical and fundamental indicators using such approaches as cross-and joint-recurrence quantification analysis (Ashe and Egan, 2023;He and Huang, 2020;Romano et al, 2004).…”

Section: Discussionmentioning

confidence: 99%

Proceedings of 10th International Conference on Monitoring, Modeling & Management of Emergent Economy

2022

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The movement of Ukrainian guest workers in the direction of Poland until 2019 was predominantly transnational in nature, as there was a constant movement of labor migrants between the national spaces of Ukraine and Poland with financial participation in the economies of the two countries at the same time. This fact is confirmed by the results of empirical sociological researches conducted by the Ukrainian Institute of the Future, the Cedos analytical agency, the Personnel Service employment agency, the Gremi Personal, and the statistical data of the International Organization for Migration, the State Migration Service of Ukraine, the State Statistics Service of Ukraine, the Ministry of Family and Social Development of Poland. However, the trends changed dramatically due to the global COVID-19 epidemic, later in 2022 with the outbreak of the war in Ukraine. The desire for temporary, pendulum labor mobility gave way to the desire to leave Ukraine forever and settle abroad with the whole family. A new migration trend may be associated with the movement to Poland of Ukrainian men who come after the end of the war to reunite with their families, who were moved there earlier since the beginning of hostilities in Ukraine.

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Section: Discussionmentioning

confidence: 99%

Proceedings of 10th International Conference on Monitoring, Modeling & Management of Emergent Economy

2022

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“…In future work, it will be of interest to apply the method of Cross Recurrence Plots introduced by (Zbilut et al (1998), Marwan et al (2007), Marwan et al (2008)) to analyze the dependencies between two different system states. This method is used in the analysis of systems of turbulent flows (see Fragkou et al (2015)), energy markets (see Bielenskyi et al (2023)), financial and business cycles (see Ashe et al 2023)), and climate change and geological data (see Marwan et al (2004)).…”

Section: Extensions and Future Workmentioning

confidence: 99%

The credit card-augmented Divisia monetary aggregates: an analysis based on recurrence plots and visual boundary recurrence plots

Andreadis,

Fragkou,

Karakasidis

et al. 2024

Financ Innov

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In this paper, we compare the dynamics of the growth rates of the original Divisia monetary aggregates, the credit card-augmented Divisia monetary aggregates, and the credit card-augmented Divisia inside monetary aggregates. This analysis is based on the methods of recurrence plots, recurrence quantification analysis, and visual boundary recurrence plots which are phase space methods designed to depict the underlying dynamics of the system under study. We identify the events that affected Divisia money growth and point out the differences among the different Divisia monetary aggregates based on the recurrence and visual boundary recurrence plots. We argue that the broad Divisia monetary aggregates could be used for monetary policy and business cycle analysis as they are exhibiting less fluctuation compared to the narrow Divisia monetary aggregates. They could positively affect policy decisions regarding environmental choices and sustainability. We also point out the changes in the monetary dynamics locating the 2008 global financial crisis and the Covid-19 pandemic.

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“…The former has the advantage of illustrating some determinism intermittency or regime switching between regular or laminar phases and chaotic phases, which can well explain the phenomenon of an economic bubble (Orlando & Bufalo, 2022; Orlando & Zimatore, 2020). The latter is widely used in economics and finance as a means of measuring the recurrence between different time series (Ashe & Egan, 2023). Because it has the advantage of dealing with data stationarity, parameter constancy, and irregularity (Bastos & Caiado, 2011).…”

Section: Literature Reviewmentioning

confidence: 99%

The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches

Meng,

Mo,

Nie

2023

Journal of Futures Markets

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This study employs the quantile‐on‐quantile method, casualty‐in‐quantiles method, and rolling window regression to investigate the impact of international crude oil future prices on the stock prices of both traditional and new energy sectors in China. The empirical results reveal that the effect of oil future prices on the energy stock market in China varies across quantiles and is easily affected by extreme events. Specifically, the impact of oil future prices on the new energy stock market is significant and volatile, while it is less volatile and displays a negative correlation with the traditional energy market. Furthermore, a concentrated positive correlation is observed in the middle and low quantile stages of the energy stock market. A significant Granger causality exists between oil future prices and the energy stock market in different quantiles. Those findings can provide useful guidance for policymakers, investors, and consumers.

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Examining financial and business cycle interaction using cross recurrence plot analysis

Cited by 9 publications

References 24 publications

Proceedings of 10th International Conference on Monitoring, Modeling & Management of Emergent Economy

Proceedings of 10th International Conference on Monitoring, Modeling & Management of Emergent Economy

The credit card-augmented Divisia monetary aggregates: an analysis based on recurrence plots and visual boundary recurrence plots

The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches

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