...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Journal of Macroeconomics >Non-Parametric Determination of Real-Time Lag Structure between Two Time Series: The 'Optimal Thermal Causal Path' Method with Applications to Economic Data.
【24h】

Non-Parametric Determination of Real-Time Lag Structure between Two Time Series: The 'Optimal Thermal Causal Path' Method with Applications to Economic Data.

机译：两个时间序列之间的实时滞后结构的非参数确定：“最佳热因果路径”方法及其对经济数据的应用。

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag-lead structure between two arbitrary time series. The method consists in constructing a distance matrix based on the matching of all sample data pairs between the two time series. Then, the lag-lead structure is searched as the optimal path in the distance matrix landscape that minimizes the total mismatch between the two time series, and that obeys a one-to-one causal matching condition. We apply our method to the question of the causality between the US stock market and the treasury bond yields and confirm earlier results on a causal arrow of the stock markets preceding the Federal Reserve Funds adjustments as well as the yield rates at short maturities in the period 2000-2003. The application to inflation, inflation change, GDP growth rate and unemployment rate unearths non-trivial causal relationships: the GDP changes lead inflation especially since the 1980s, inflation changes lead GDP only in the 1980 decade, and inflation leads unemployment rates since the 1970s. In addition, we detect multiple competing causality paths in which one can have inflation leading GDP with a certain lag time and GDP feeding back/leading inflation with another lag time.
机译：我们引入了一种新颖的非参数方法来测试两个任意时间序列之间的滞后-提前结构的动态时间演化。该方法包括基于两个时间序列之间所有样本数据对的匹配构造距离矩阵。然后，将滞后超前结构作为距离矩阵景观中的最佳路径进行搜索，该路径将两个时间序列之间的总失配降至最低，并遵循一对一的因果匹配条件。我们将我们的方法应用于美国股市与国债收益率之间的因果关系问题，并在联邦储备基金调整之前的股票市场因果关系箭头以及该期间的短期到期收益率上确认较早的结果2000-2003年。通货膨胀，通货膨胀变化，国内生产总值增长率和失业率的应用揭示了非平凡的因果关系：特别是从1980年代以来，国内生产总值的变化导致通货膨胀，仅在1980年代才导致通货膨胀变化，而自1970年代以来通货膨胀率导致失业率。此外，我们检测到多种竞争性因果路径，其中一条路径可以使通货膨胀率领先GDP具有一定的滞后时间，而GDP反馈/导致通货膨胀率具有另一种滞后时间。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号