Long waves in prices: new evidence from wavelet analysis

Gallegati M, Gallegati M, Ramsey JB, Semmler W (2017)
CLIOMETRICA 11(1): 127-151.

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Zeitschriftenaufsatz | Veröffentlicht | Englisch
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Abstract / Bemerkung
In this paper we apply wavelet analysis to study the dynamics of long-term movements in wholesale prices for the USA, the UK and France over the period 1791-2012. The application of wavelet analysis to long-term historical price series allows us to detect long waves in prices whose periodization is remarkably similar to those provided in the literature for the pre-World War II period. Moreover, we find evidence on the existence of long waves in prices also after World War II, a period in which long waves are generally difficult to detect because of the positive trend displayed by prices. The comparison between the long wave components extracted through wavelets and the Christiano-Fitzgerald band-pass filter suggests that wavelets provide a reliable and straightforward technique for analyzing long waves dynamics in time series exhibiting quite complex patterns such as historical data.
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Zeitschriftentitel
CLIOMETRICA
Band
11
Zeitschriftennummer
1
Seite
127-151
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Gallegati M, Gallegati M, Ramsey JB, Semmler W. Long waves in prices: new evidence from wavelet analysis. CLIOMETRICA. 2017;11(1):127-151.
Gallegati, M., Gallegati, M., Ramsey, J. B., & Semmler, W. (2017). Long waves in prices: new evidence from wavelet analysis. CLIOMETRICA, 11(1), 127-151. doi:10.1007/s11698-015-0137-y
Gallegati, M., Gallegati, M., Ramsey, J. B., and Semmler, W. (2017). Long waves in prices: new evidence from wavelet analysis. CLIOMETRICA 11, 127-151.
Gallegati, M., et al., 2017. Long waves in prices: new evidence from wavelet analysis. CLIOMETRICA, 11(1), p 127-151.
M. Gallegati, et al., “Long waves in prices: new evidence from wavelet analysis”, CLIOMETRICA, vol. 11, 2017, pp. 127-151.
Gallegati, M., Gallegati, M., Ramsey, J.B., Semmler, W.: Long waves in prices: new evidence from wavelet analysis. CLIOMETRICA. 11, 127-151 (2017).
Gallegati, Marco, Gallegati, Mauro, Ramsey, James B., and Semmler, Willi. “Long waves in prices: new evidence from wavelet analysis”. CLIOMETRICA 11.1 (2017): 127-151.