Spectral analysis as a tool for financial policy: an analysis of the short-end of the British term structure

Hughes Hallett, Andrew and Richter, Christian R. (2004) Spectral analysis as a tool for financial policy: an analysis of the short-end of the British term structure. Computational Economics, 23(3), pp. 271-288. ISSN (print) 0927-7099

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Abstract

In this paper, we show how to derive the spectra and cross-spectra of economic time series from an underlying econometric or VAR model. This allows us to conduct a proper frequency analysis evaluation of economic and financial variables on a reduced sample of data, without it being ruled out by the large sample requirements of direct spectral estimation. We show, in particular, how this can be done for time-varying models and time-varying spectra. We use our techniques to show how the behaviour of British interest rates changed during and following the ERM crisis of 1992/3.

Item Type: Article
Research Area: Economics and econometrics
Faculty, School or Research Centre: Faculty of Arts and Social Sciences > School of Economics (until November 2012)
Depositing User: Christian Richter
Date Deposited: 23 Feb 2009 16:02
Last Modified: 23 Feb 2009 16:02
URI: http://eprints.kingston.ac.uk/id/eprint/4590

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