Search results for "wavelet coherence"
showing 5 items of 5 documents
Quasi-decadal signals of Sahel rainfall and West African monsoon since the mid-twentieth century
2013
[1] Sahel rainfall shows pronounced decadal variability and a negative trend between wet conditions in the 1950s–1960s and dry ones in the 1970s–1980s. Using continuous wavelet transform, the quasi-decadal variability (QDV) of rainfall reveals zonal contrasts. The highest QDV is identified in the 1950s–1960s over western Sahel and in the 1970s–1980s over eastern Sahel. The quasi-decadal atmospheric anomalies have been reconstructed using Fourier transform for the 1950s–1960s and the 1970s–1980s, respectively, and assessed by the composite analysis of the QDV phases for the periods before and after 1968. Over western Sahel, the rainfall QDV in the 1950s–1960s is related to the North Atlantic…
A wavelet analysis of the ripple effect in UK regional housing markets
2021
Abstract The paper aims at gaining insights on the spatio-temporal mechanism of house price spillovers, also known as ripple effect, among 12 UK regional housing markets, over the period 1973–2018. From a policy perspective, it is essential to discriminate if the effects of a shock decay more slowly along the geographical dimension as compared to the decay along the time dimension. We enter the debate in a novel manner by using some wavelet analysis tools (wavelet coherence and phase differences amongst others) which reveal the spectral characteristics of a series and show how different periodic components of housing returns evolve over time. Results are interesting. Spillovers from London …
Interdependence between Green Financial Instruments and Major Conventional Assets: A Wavelet-Based Network Analysis
2021
This paper examines the interdependence between green financial instruments, represented by green bonds and green stocks, and a set of major conventional assets, such as Treasury, investment-grade and high-yield corporate bonds, general stocks, crude oil, and gold. To that end, a novel wavelet-based network approach that allows for assessing the degree of interconnection between green financial products and traditional asset classes across different investment horizons is applied. The empirical results show that green bonds are tightly linked to Treasury and investment-grade corporate bonds, while green stocks are strongly tied to general stocks, regardless of the specific time period and i…
A wavelet analysis of US fiscal sustainability
2015
Abstract In this paper, we reassess the relationship between primary deficit and lagged debt to GDP ratio (Bohn, 1998), to test for US debt sustainability over the period 1795–2012. Our analysis is rooted in the wavelet domain enabling the detection of interesting patterns and otherwise hidden information. We find evidence of long term fiscal sustainability but only up until 1995 and also we show that governments tend to respond more vigorously to budget deficits when the level of debt is high rather than low.
Correlation of oscillatory behaviour in Matlab using wavelets
2014
Here we present a novel computational signal processing approach for comparing two signals of equal length and sampling rate, suitable for application across widely varying areas within the geosciences. By performing a continuous wavelet transform (CWT) followed by Spearman?s rank correlation coefficient analysis, a graphical depiction of links between periodicities present in the two signals is generated via two or three dimensional images. In comparison with alternate approaches, e.g., wavelet coherence, this technique is simpler to implement and provides far clearer visual identification of the inter-series relationships. In particular, we report on a Matlab? code which executes this tec…