Historical decoupling in the EU: Evidence from time-frequency analysis

Abstract

We investigate economic cycle comovements across the European Union after twenty years from euro adoption. We demonstrate the cycle comovement between France and the EU and the decoupling of Germany, the United Kingdom and countries in Southern Europe. We find that the Baltic countries represent a single economic area with common shocks. Using wavelet coherence analysis with phase shift, we identify directions of causal relationships and discuss the spread of asymmetric shocks across the European Union. Our results do not fully support the idea that monetary integration increases the synchronisation of economic cycles of monetary union members.

Money, Credit, House Prices and Quantitative Easing – The Wavelet Perspective From 1970 to 2016

“…Meanwhile, the literature falls short in applying the time and frequency domain methods to compare the linkage between money/credit and house prices before and since the beginning of the Great Moderation and during the Great Recession. The methodology employed in this article follows a recently modern strand of wavelet decomposition of a signal in the time-frequency domain (see, Kapounek & Kučerová, 2018). The value added of such an approach is the use of a wide range of tools including the wavelet coherence, wavelet power spectra, the band-pass study of significance of power changes, phase differences and the wavelet gain coefficients using different monetary and credit variables, analyzing wavelet gain coefficients for different cycles and verifying the justification to carry out the analysis separately in sub-periods.…”

Money and credit during normal times and house price booms: evidence from time-frequency analysis

“…Finally, I apply the maximal overlap discrete wavelet transform (MODWT) and examine how correlations between money and credit growth change across time and specific frequency scales. Following Kapounek and Kučerová (2018), I introduce the discrete wavelet transform (DWT), where the scale parameter is discretized to integer powers of 2 j , j = 1,2,3,… And the wavelet is defined as follows:…”