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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CESifo Working Paper ; No. 10430

Classification and Topics

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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gronwald, Marc ; Jin, Xin
• Event: Veröffentlichung
• (who): Center for Economic Studies and ifo Institute (CESifo)
• (where): Munich
• (when): 2023

Further information

• Handle: http://hdl.handle.net/10419/279179
• Last update: 10.03.2025, 11:43 AM CET