Spectral Analysis as a Tool for financial Policy: An analysis of the Short-End of the British Term Structure
|Speaker:||Christian Richter, Cardiff University|
|Date:||Friday 5 December 2003|
|Location:||Room 106 Streatam Court|
(with Andrew Hughes Hallett)
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.