Macroeconomics with a Thick Pen

Arbeitspapier

This paper introduces two co-movement measures based on the Thick Pen Transform into the macroeconomic literature: the Thick Pen Measure of Association (TPMA) as well as Multi-Thickness Thick Pen Measure of Association (MTTPMA). Both measures are non-parametric, time-varying, and flexible. These methods are used to analyse the co-movement of, first, US long- and short-term interest rates, and, second, growth rates of per capita GDP and consumption. As methodological benchmark, this paper also applies the recently pro-posed measure of long-run covariability. The paper finds, first, the co-movement of all series to be stronger the more long-term the components of the time series are. Second, the co-movement of GDP and consumption growth rates is not only generally higher, it also fluctuates considerably less over time than that of the interest rates. Third, the co-movement of the interest rates is sensitive to choosing how long-term the components are. This is attributable to the different extents to which the interest rates exhibit cyclical behaviour. The benchmark method confirms this pattern of the results.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 10430

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) ; International Financial Markets
• Thema: co-movement ; macroeconomics ; Thick Pen ; covariability

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Gronwald, Marc ; Jin, Xin
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2023

Weitere Informationen

• Handle: http://hdl.handle.net/10419/279179
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ