Wavelets, Economics and Politics
by M. Joana Soares and L. Aguiar-Conraria
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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. Others, like Manuel Mota de Freitas Martins and Pedro Magalhães, have joined us. We have also been fortunate enough to be able to attract great students to this field, like Nuno Azevedo, Mustapha Ojo, and Gilmar Conceição, from whom we expect great work.
This website aims at helping those who are interested in applying wavelet tools to their own work. It will be permanently under construction.
All our papers that use wavelets, published and to be published, will be available here. Some of the MatLab codes will be made available, in particular, the codes for recent papers that use the last version of the toolbox we developed, the ASToolbox. A few years ago, we also wrote an R version of our toolbox. However, it has not been updated.
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 difference 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 for the Econometrics Toolbox, Statistics Toolbox or Signal Processing Toolbox) and introduced some simplifications, 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!
Download our Toolboxes (Last update: April/June 2018)
Papers and Working-Papers
Papers
[19] Aguiar-Conraria, L.; Martins, M.M.F.; Soares, M.J. 2020. The Phillips Curve at 65: Time for Time and Frequency. Journal of Economic Dynamics and Control, Forthcoming. Data and Codes.
[18] M.O. Ojo, L. Aguiar-Conraria, M. J. Soares. 2023. The Performance of OECD's Composite Leading Indicator. International Journal of Finance and Economics, forthcoming. Data and Codes.
[17] Aguiar-Conraria, L., Conceição, G., Soares, M.J. 2022. How Far is Gas from becoming a Global Commodity? Energy Journal, 2022, 43(4), pp. 179–198. https://doi.org/10.5547/01956574.43.4.lagu
[16] Aguiar-Conraria, L.; Martins, M.M.F.; Soares, M.J. 2020. Okun's Law across time and frequencies. Journal of Economic Dynamics and Control, 116, 103897. https://doi.org/10.1016/j.jedc.2020.103897.
[15] Ojo, M.O.; Aguiar-Conraria, L.; Soares, M.J. 2020. A time–frequency analysis of the Canadian macroeconomy and the yield curve. Empirical Economics, 58(5), pp. 2333–2351. https://doi.org/10.1007/s00181-018-1580-y
[14] Aguiar-Conraria, L.; Martins, M.M.F.; Soares, M.J. 2018. Estimating the Taylor rule in the time-frequency domain. Journal of Macroeconomics, 2018, 57, pp. 122–137. https://doi.org/10.1016/j.jmacro.2018.05.008.
[13] Aguiar-Conraria, L.; Soares, M.J.; Sousa, R., (2018). California's carbon market and energy prices: A wavelet analysis. Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences, 376(2126), 20170256. https://doi.org/10.1098/rsta.2017.0256
[12] Aguiar-Conraria, L.; Brinca, P.; Gujónsson, H.V.; Soares, M.J., 2017. Business cycle synchronization across U.S. states. B.E. Journal of Macroeconomics, 2017, 17(1). https://doi.org/10.1515/bejm-2015-0158
[11] R. Sousa, L. Aguiar-Conraria, M.J. Soares, 2014. Carbon financial markets: A time–frequency analysis of CO2 prices, Physica A: Statistical Mechanics and its Applications, 414: 118-127. https://doi.org/10.1016/j.physa.2014.06.058.
[10] Aguiar-Conraria, L.; Rodrigues, T.M.; Soares, M.J. (2014). Oil Shocks and the Euro as an Optimum Currency Area. In: Gallegati, M., Semmler, W. (eds) Wavelet Applications in Economics and Finance. Dynamic Modeling and Econometrics in Economics and Finance, vol 20. Springer, Cham. https://doi.org/10.1007/978-3-319-07061-2_7
[9] Inflation rate dynamics convergence within the Euro, 2014, In: , et al. Computational Science and Its Applications – ICCSA 2014. ICCSA 2014. Lecture Notes in Computer Science, vol 8579. Springer, Cham. https://doi.org/10.1007/978-3-319-09144-0_10. (Joint with Maria Joana Soares)
[8] The Continuous Wavelet Transform: moving beyond uni- and bivariate analysis, 2014, Journal of Economic Surveys, 28: 344-375 doi: 10.1111/joes.12012. (Joint with Maria Joana Soares) The working-paper version circulated with a different title: The Continuous Wavelet Transform: A Primer, NIPE - WP 16 / 2011
[7] Aguiar-Conraria, L.; Magalhães, P.C.; Soares, M.J. 2013. The nationalization of electoral cycles in the United States: a wavelet analysis. (Web Appendix.) Public Choice, 156, 387–408. https://doi.org/10.1007/s11127-012-0052-8.
[6] Convergence of Economic Sentiment Cycles in the Euro Area: a time-frequency analysis, 2013, Journal of Common Market Studies, 51: 377-398, doi: 10.1111/j.1468-5965.2012.02315.x. (Joint with Manuel M. F. Martins and Maria Joana Soares)
[5] Cycles in Politics: Wavelet Analysis of Political Time-Series, Web Appendix, 2012, 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 and Maria Joana Soares)
[4] The yield curve and the macro-economy across time and frequencies, 2012, Journal of Economic Dynamics and Control, 36(12): 1950-70, doi: 10.1016/j.jedc.2012.05.008. (Joint with Manuel M. F. Martins and Maria Joana Soares)
[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. (Joint with Maria Joana Soares)
[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. (Joint with Maria Joana Soares)
[1] Using Wavelets to Decompose the Time-Frequency Effects of Monetary Policy, 2008, Physica A: Statistical Mechanics and its Applications, 387, https://doi.org/10.1016/j.physa.2008.01.063 . (Joint with Maria Joana Soares and Nuno Azevedo)
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