Spectral Analysis as a Tool for Financial Policy: An Analysis of the Short-End of the British Term Structure

  • Authors:

  • Andrew Hughes Hallett;Christian R. Richter

  • Affiliations:

  • Cardiff University, Aberconway Building, Colum Drive, Cardiff CF10 3EU, Wales, U.K./ E-mail: HughesHallettA@cf.ac.uk;Cardiff University, Aberconway Building, Colum Drive, Cardiff CF10 3EU, Wales, U.K./ E-mail: RichterC@cf.ac.uk

  • Venue:
  • Computational Economics
  • Year:
  • 2004

Quantified Score

Hi-index 0.00

Visualization

Abstract

In this paper, we show how to derive the spectra and cross-spectra of economic time series from an underlying econometric or VAR model. This allows us to conduct a proper frequency analysis evaluation of economic and financial variables on a reduced sample of data, without it being ruled out by the large sample requirements of direct spectral estimation. We show, in particular, how this can be done for time-varying models and time-varying spectra. We use our techniques to show how the behaviour of British interest rates changed during and following the ERM crisis of 1992/3.