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Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis

We construct recurrence plots (RPs) and conduct recurrence quantification analysis (RQA) to investigate the dynamic properties of the new Center for Financial Stability (CFS) Divisia monetary aggregates for the United States. In this study, we use the latest vintage of Divisia aggregates, maintained...

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Autores principales: Andreadis, Ioannis, Fragkou, Athanasios D., Karakasidis, Theodoros E., Serletis, Apostolos
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9829528/
https://www.ncbi.nlm.nih.gov/pubmed/36643683
http://dx.doi.org/10.1186/s40854-022-00419-5
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author Andreadis, Ioannis
Fragkou, Athanasios D.
Karakasidis, Theodoros E.
Serletis, Apostolos
author_facet Andreadis, Ioannis
Fragkou, Athanasios D.
Karakasidis, Theodoros E.
Serletis, Apostolos
author_sort Andreadis, Ioannis
collection PubMed
description We construct recurrence plots (RPs) and conduct recurrence quantification analysis (RQA) to investigate the dynamic properties of the new Center for Financial Stability (CFS) Divisia monetary aggregates for the United States. In this study, we use the latest vintage of Divisia aggregates, maintained within CFS. We use monthly data, from January 1967 to December 2020, which is a sample period that includes the extreme economic events of the 2007–2009 global financial crisis. We then make comparisons between narrow and broad Divisia money measures and find evidence of a nonlinear but reserved possible chaotic explanation of their origin. The application of RPs to broad Divisia monetary aggregates encompasses an additional drift structure around the global financial crisis in 2008. Applying the moving window RQA to the growth rates of narrow and broad Divisia monetary aggregates, we identify periods of changes in data-generating processes and associate such changes to monetary policy regimes and financial innovations that occurred during those times.
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spelling pubmed-98295282023-01-10 Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis Andreadis, Ioannis Fragkou, Athanasios D. Karakasidis, Theodoros E. Serletis, Apostolos Financ Innov Research We construct recurrence plots (RPs) and conduct recurrence quantification analysis (RQA) to investigate the dynamic properties of the new Center for Financial Stability (CFS) Divisia monetary aggregates for the United States. In this study, we use the latest vintage of Divisia aggregates, maintained within CFS. We use monthly data, from January 1967 to December 2020, which is a sample period that includes the extreme economic events of the 2007–2009 global financial crisis. We then make comparisons between narrow and broad Divisia money measures and find evidence of a nonlinear but reserved possible chaotic explanation of their origin. The application of RPs to broad Divisia monetary aggregates encompasses an additional drift structure around the global financial crisis in 2008. Applying the moving window RQA to the growth rates of narrow and broad Divisia monetary aggregates, we identify periods of changes in data-generating processes and associate such changes to monetary policy regimes and financial innovations that occurred during those times. Springer Berlin Heidelberg 2023-01-10 2023 /pmc/articles/PMC9829528/ /pubmed/36643683 http://dx.doi.org/10.1186/s40854-022-00419-5 Text en © The Author(s) 2023, corrected publication 2023 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Research
Andreadis, Ioannis
Fragkou, Athanasios D.
Karakasidis, Theodoros E.
Serletis, Apostolos
Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis
title Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis
title_full Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis
title_fullStr Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis
title_full_unstemmed Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis
title_short Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis
title_sort nonlinear dynamics in divisia monetary aggregates: an application of recurrence quantification analysis
topic Research
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9829528/
https://www.ncbi.nlm.nih.gov/pubmed/36643683
http://dx.doi.org/10.1186/s40854-022-00419-5
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