利用希尔伯特变换对基于购买力平价的汇率进行同步分析

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-05-30 DOI:10.1016/j.najef.2024.102191

Makoto Muto , Yoshitaka Saiki

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引用次数: 0

摘要

同步是指一对波动在相互作用时调整其节奏的现象。我们根据购买力平价（PPP）来衡量美元和欧元汇率之间以及美元和日元汇率之间随时间变化的同步程度。我们采用希尔伯特变换的同步分析方法，发现大部分时间的同步程度很高，这表明购买力平价已经建立。在发生非对称经济事件（如美国房地产泡沫）的时期，同步程度并不会保持很高。

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Synchronization analysis between exchange rates on the basis of purchasing power parity using the Hilbert transform

Synchronization is a phenomenon in which a pair of fluctuations adjusts their rhythms when interacting with each other. We measure the degree of synchronization between the U.S. dollar (USD) and euro exchange rates and between the USD and Japanese yen exchange rates based on purchasing power parity (PPP) over time. We employ a method of synchronization analysis using the Hilbert transform and find that the degree of synchronization is high most of the time, which suggests the establishment of PPP. The degree of synchronization does not remain high across periods with asymmetric economic events such as the U.S. real estate bubble.

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.