Timescale Analysis of Economic Relationships
- 주제(KDC) 320.000
- 설명문(일반) Part of this work was supported by the Brain Korea 21 Project in 2001
- 발행기관 서강대학교 경제학연구원
- 발행년도 2001
- 총서유형 Journal
- 본문언어 영어
초록/요약
As some decisions are taken with respect to long-term plans while others are taken with respect to short-run variations, relationships between economic and financial variables may depend on the timescale of analysis. Unfortunately, however, it is far from simple to decompose time series data into components with different frequencies. Wavelets are used in this paper to produce an orthogonal decomposition of economic time series into several timescales. In particular, we examine the consumption-income relationships at various ranges of frequencies based on reconstruction of the data by wavelet crystals. The basic finding is that consumption behavior depends much on the horizon of consumers with respect to the consumption decision in hand. The results in this paper generalize the original idea of the permanent income hypothesis, which considers the consumption-income relationship as a two-fold distinction between permanent and transitory component.
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