A Multiple and Partial Wavelet Analysis of the Oil Price,Inflation, Exchange Rate,and Economic Growth Nexus in Saudi Arabia

This article provides a fresh insight into the dynamic nexus between oil prices, the Saudi/US dollar exchange rate, inflation, and output growth rate in Saudi Arabia’ economy, using novel Morlet’ wavelet methods. Specifically, it implements various tools of methodology: the continuous wavelet power spectrum, the cross-wavelet power spectrum, the wavelet coherency, the multiple and the partial wavelet coherence to the annual sample period 1969–2014. Our results unveil that the relationships among the variables evolve through time and frequency. From the time-domain view, we show strong but non-homogenous linkages between the four variables. From the frequency-domain view, we uncover significant wavelet coherences and strong lead-lag relationships. From an economic view, the wavelet analysis shows that Saudi economy is still exposed to several global risk factors, which are mainly related to the oil market volatility, and the pegging of the local currency to the US dollar. Such risk factors strongly and negatively affect the real economic growth, exert more pressure on inflation, and substantially limit the freedom to pursue an independent monetary policy.     

小波函数的电路合成方法

针对国内对小波的研究主要集中在算法和应用方面,小波的电路实现方法研究还鲜见的现状,提出了一种小波函数的电路实现方法。小波函数使用反曲型母小波模拟,电路由双极型晶体管、可控放大器和线性无源电子元件等组成。根据小波分解的多分辨率近似特性,有限能量多变量函数能使用这个模拟电路近似表示,结合实例,PSpice仿真实验表明,小波函数的电路合成方法是有效、可靠的。     

Estimating DSGE models across time and frequency

Using a wavelet-based decomposition, this paper exploits the information in the data usually employed in the estimation of DSGE models. A simple New Keynesian model featuring price and wage rigidities is estimated for the United States across different frequencies. The estimations indicate that most structural parameters exhibit a frequency-dependent behavior. The impulse response functions also indicate frequency-dependent responses of output to the exogenous shocks. For lower frequencies, there are more persistent effects, especially for preference and technology shocks.     

Do Islamic Stock Returns Hedge Against Inflation? A Wavelet Approach

This article makes an initial attempt to study the hedging effectiveness of Islamic stock returns against inflation for different investment horizons. We applied the wavelet analysis to measure the cross-correlations between the time series as a function of time-scales using data ranging from 2007 to early 2015. The main results tend to indicate the following: First, that for investment horizons not exceeding 3 years, the FTSE Bursa Malaysia Emas Shariah Index constituent returns may potentially hedge against inflation. Additionally, the hedging ability of stock returns was absent from 2008 to 2009 following the global financial crisis. Finally, a buy-and-hold strategy exceeding 3 years may erode investments. The results are plausible and have strong policy implications.     

上证指数奇异信号统计检测的小波分析

本文采用二阶B－－样条小波函数对上证指数进行了小波变换处理,当选取j=6,c=1时,则在＝2^j/2 1/8分割下检测出了10个奇异点,并对两个典型奇异的社会和进行背景进行了分析。     

Unraveling the Financial Contagion in European Stock Markets During Financial Crises: Multi-Timescale Analysis

The article investigates the evidence of financial contagion and market integration in selected European equity markets during nine major crises across regions. The focus is to identify whether (i) contagion evidence is pure or fundamental and (ii) dynamic evolution of integration is in the short run or long run. Wavelet decomposition in both its discrete and continuous forms is used. The findings reveal the following: (i) prior to the subprime crisis, contagion effects generated short-term shocks. The most recent US subprime crisis, however, reveals the evidence of fundamental based contagion. (ii) We find increasing short-run and long-run stock market integration, driven by several stages of the establishment of Economic and Monetary Union (EMU), questioning the ultimate benefits of formal entry into EMU membership.     

The multiresolution histogram

We introduce a new method for locally adaptive histogram construction that doesn’t resort to a standard distribution and is easy to implement: the multiresolution histogram. It is based on aL ₂ analysis of the mean integrated squared error with Haar wavelets and hence can be associated with a multiresolution analysis of the sample space.     

Time–frequency relationship between US output with commodity and asset prices

Commodity and asset prices have a well-documented effect on economic growth as manifested through various channels. At the same time, the business cycle influences the commodity and asset prices. Whereas empirical evidence on the effect of commodity and asset prices on the long-run economic growth is ambiguous, most of the previous researches highlight a positive correlation in the short run. The aim of this article is to disentangle the short- and long-run co-movements between US historical business cycles and commodity and asset prices over the period 1859–2013. For this purpose, we use a time–frequency approach and we test the historical influence of oil, gold, housing and stock prices over the output growth. In contrast to other studies, we control for the effect of other prices and monetary conditions, using the wavelet partial coherency. In line with the previous works, we discover that co-movements between economic growth and commodity and assets prices manifest especially in the short run. We also find that stock returns and housing prices have a more powerful effect on the US economic growth rate than the oil and gold prices. The long-run co-movements are documented especially around the World War II. Finally, when controlling for the influence of the interest rate, inflation and other commodity and asset prices, co-movements become weaker in the short run. In general, the oil and housing prices lead the GDP growth, the US output leads the gold prices, while there is no clear causality direction between business cycle and stock prices.     

基于小波变换的电能测量方法

该文提出了小波变换在电能测量上应用的新方法，提高了电能测量的精度和速度。直接使用小波变换数据的优点是它提供了与各小波分析级相关的功率、电能的频谱带。即用IIR的多相滤波器组先将不同频率的电压、电流信号分成各小波级，然后将各小波级上的功率和电能进行累加测量出总功率和电能。