Some Aspects of the Discrete Wavelet Analysis of Bivariate Spectra for Business Cycle Synchronisation [Dataset]

In addition, we show how MODHWT-based wavelet quantities can serve to approximate the Fourier bivariate spectra and discuss issues connected with building confidence intervals for them. The discrete wavelet analysis of coherence and phase angle is illustrated with a scale-dependent examination of business cycle synchronisation between 11 euro zone countries. The study is supplemented by a wavelet analysis of the variance and covariance of the euro zone business cycles.

The empirical examination underlines the good localisation properties and high computational efficie ncy of the wavelet transformations applied and provides new arguments in favour of the endogeneity hypothesis of the optimum currency area criteria as well as the wavelet evidence on dating the Great Moderation in the euro zone.