Wavelets, Economics and Politics

 

by M. Joana Soares and L. Aguiar-Conraria

Luís Aguiar-Conraria
lfaguiar@eeg.uminho.pt
Dep. of Economics
University of Minho
4710-057 Braga
PORTUGAL

This website belongs to Luís Aguiar-Conraria and Maria Joana Soares. We are both professors and researchers in the University of Minho.

In 2007 we started the joint project of applying Wavelet Analysis to Economics, Finance and Political Science, as well as other Social Sciences. Joana Soares is the Mathematician; Aguiar-Conraria is the Economist.

This website aims at helping those who are interested in applying wavelet tools on their own work. It will be permanently under construction.

All our papers that use wavelets, published and to be published, will be available here, as well as the data we used in each paper. Some of the matlab codes will be made available. In particular, the codes for recent papers that use the toolbox we developed, the ASToolbox. As time goes by, we will update every paper using our own toolbox. Once we do that, the scripts will be available too. The only exceptions will be [1], [2] and [3]. Meanwhile, we also wrote an R version of our toolbox

Maria Joana Soares
jsoares@math.uminho.pt
Dep. of Mathematics and Applications
University of Minho
4710-057 Braga
PORTUGAL

Our Toolboxes

1. The ASToolbox contains a series of Matlab functions implementing the continuous wavelet tools described in our papers. Our main objective was to collect into one single directory all the functions necessary to use these tools and also to provide some scripts illustrating their use. This, we hope, will encourage newcomers to the field to make tests with their own data and might contribute to the dissemination of the use of wavelets, not only in economics, finance and political science, but possibly in other areas. The examples provided in this toolbox are attached to two papers The Continuous Wavelet Transform: moving beyond uni- and bivariate analysis (which has previously circulated as The Continuous Wavelet Transform: A Primer).

2. We also provide a toolbox coded in R called GWPackage. It is not absolutely equivalent, but it should be fully functional. It also includes several examples, mainly from our AJPS paper.  In this toolbox, the functions are adaptations to R of the corresponding functions contained in the matlab toolbox ASToolbox. The main difference concerns the type of wavelets available. In the ASToolbox, the user can select the wavelet among the so-called Generalized Morse Wavelets. In the GWPackage, the choice of wavelets is restricted to the family of Gabor wavelets. Both these families include the popular Morlet wavelet as a special case, which is by far the most commonly used.

3. Major Update. In 2018, we uploaded a major update of our toolbox. The main di.erence from previous versions is the possibility of computing the wavelet gain/partial gain. We also made it totally independent of other Matlab toolboxes (i.e. there is no need of the Econometrics Toolbox, Statistics Toolbox or Signal Processing Toolbox) and introduced some simpli.cations, dictated by the experience on the use of the previous versions. This new version should be fully compatible with the latest releases of MatLab. The examples provided in the toolbox are taken from our papers "Estimating the Taylor rule in the time-frequency domain" (joint work with Manuel Martins) and "California's Carbon Market and Energy Prices: A Wavelet Analysis" (joint work with Rita Sousa).

Our toolboxes can be freely used. We just ask that you acknowledge the use of our functions in any publications and that a copy of such publication is sent to us. It goes without saying, any corrections, comments and suggestions to improve our functions are most welcome!

 

Papers and Working-Papers

[9] Oil Shocks and the Euro as an Optimum Currency Area, NIPE - WP 07 / 2012 (Joint with Teresa Maria Rodrigues) (Data and Codes)

[8] The Continuous Wavelet Transform: boving beyond uni- and bivariate analysis, 2013, Journal of Economic Surveys, doi: 10.1111/joes.12012. (JCR-IF: 0.986) The working-paper version circulated with a different title: The Continuous Wavelet Transform: A Primer, NIPE - WP 16 / 2011

[7] The yield curve and the macro-economy across time and frequencies, Journal of Economic Dynamics and Control, forthcoming, doi: 10.1016/j.jedc.2012.05.008.  (Data and codes) (Joint with Manuel M. F. Martins)

[6] Convergence of Economic Sentiment Cycles in the Euro Area: a time-frequency analysis, Journal of Common Market Studies, doi: 10.1111/j.1468-5965.2012.02315.x. (Data and codes) (Joint with Manuel M. F. Martins) 

[5] The nationalization of electoral cycles in the United States: a wavelet analysis, Online Appendix, Public Choice, forthcoming. (Joint with Pedro C. Magalhães) (Data and codes)

[4] Cycles in Politics: Wavelet Analysis of Political Time-Series, Web Appendix, The American Journal of Political Science, 56 (2), pp. 500-518, doi: 10.1111/j.1540-5907.2011.00566.x. (Joint with Pedro C. Magalhães) (Data and codes)

[3] Business Cycle Synchronization and the Euro: a Wavelet Analysis, 2011, Journal of Macroeconomics, 33(3), doi: 10.1016/j.jmacro.2011.02.005, 477 - 489. (JCR-IF: 0.678)

[2] Oil and the Macroeconomy: using wavelets to analyze old issues, 2011, Empirical Economics, 40(3) doi: 10.1007/s00181-010-0371-x, pp 645 - 655.  (JCR-IF: 0.714)

[1] Using Wavelets to Decompose the Time-Frequency Effects of Monetary Policy, 2008, Physica A: Statistical Mechanics and its Applications, 387, doi: 10.1016/j.physa.2008.01.063, pp. 2863–2878. (Joint with Nuno Azevedo)  (JCR-IF: 1.521)

Subpages (1): The ASToolbox