دانلود رایگان مقاله متغیر با زمان و وقفه در سراسر فرکانس با رویکرد تبدیل موجک پیوسته

Abstract

A precise understanding of lead–lag structures in economic data is important for many economic agents such as policymakers, traders in financial markets, and producers in goods markets. To identify time-varying lead–lag relationships across various frequencies in economic time series, recent studies have used phase difference on the basis of a continuous wavelet transform. However, the extant literature includes several conflicting interpretations of phase difference. In this study, we extensively discuss wavelet phase difference, determine its most plausible interpretation, and thus attempt to address gaps in the existing literature. Consequently, this study suggests that some lead–lag results of previous works have been driven by incorrect interpretations of wavelet phase difference.

4. Conclusion

In addition to researchers in different fields of science, such as engineering and physics, wavelet methods are increasingly attractive to researchers in the fields of economics and finance. However, as this study indicates, there is no consensus in previous works on the interpretation of phase difference, which is one of the most widely used wavelet tools in economic analysis. As all the interpretations in these works have been provided without any clear explanation, the reason for these differences is uncertain. Thus, results of leads and lags on phase difference are ambiguous and unreliable. In this paper, we have deliberated on the most plausible interpretation of phase difference and this has, to some extent, addressed the gaps in the newly growing body of wavelet literature. While our analysis is conducted by presenting several examples, the conclusion can arguably be applied to other cases, almost without exception. To summarize, only Interpretation 1 should be considered as plausible, and the phase difference results based on Interpretations 2 and 3 should be approached with caution.