2022
DOI: 10.1108/jes-04-2021-0188
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Quadruple wavelet coherence and pairwise cointegration: comparative time-frequency analysis of bank deposit rate

Abstract: PurposeThis study aims to attempt to understand the joint co-movement of bank deposit rate and its main underlying determinants (foreign exchange rate (FX) rate, cross-currency swap rate and implied forward rate). The authors also compare time and frequency variant approaches in this dynamic.Design/methodology/approachThe authors examine bank deposit rates where multiple variables jointly interact, and the integration is time and frequency variant. The study applies both cointegration and wavelet coherence met… Show more

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Cited by 3 publications
(2 citation statements)
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“…The CWT also has the capability to preserve the wavelet power spectra (Equation ( 4)), which furthermore enables us to find the wavelet coherence plot (Kirik et al, 2021). The product of Cross-wavelet transformation (Equation ( 5)) constructs the wavelet coherence by using the wavelet power spectra as a normalization factor (Torrence and Compo, 1998).…”
Section: Basics Of Waveletsmentioning
confidence: 99%
“…The CWT also has the capability to preserve the wavelet power spectra (Equation ( 4)), which furthermore enables us to find the wavelet coherence plot (Kirik et al, 2021). The product of Cross-wavelet transformation (Equation ( 5)) constructs the wavelet coherence by using the wavelet power spectra as a normalization factor (Torrence and Compo, 1998).…”
Section: Basics Of Waveletsmentioning
confidence: 99%
“…This powerful tool has thus recently started to be employed in econometrics to reveal complex, intermittent and latent associations between economic variables in both time and frequency domains. Wavelet coherence analysis is shown to be useful in identifying joint time and frequency variant co-movements between financial variables that have changing fluctuations within different time intervals (Kirik et al, 2023). Standard wavelet coherence analysis may provide erroneous results in a multivariate setting when explanatory variables are also correlated.…”
Section: Introductionmentioning
confidence: 99%