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

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

Abstract 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, m...

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Bibliographic Details
Main Authors: Ioannis Andreadis, Athanasios D. Fragkou, Theodoros E. Karakasidis, Apostolos Serletis
Format: Article
Language:English
Published: SpringerOpen 2023-01-01
Series:Financial Innovation
Subjects:
Divisia monetary aggregates
Recurrence plots
Moving windows
Deterministic dynamics
Stochastic structures
Online Access:https://doi.org/10.1186/s40854-022-00419-5

Internet

https://doi.org/10.1186/s40854-022-00419-5

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