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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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:
Online Access:https://doi.org/10.1186/s40854-022-00419-5
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author Ioannis Andreadis
Athanasios D. Fragkou
Theodoros E. Karakasidis
Apostolos Serletis
author_facet Ioannis Andreadis
Athanasios D. Fragkou
Theodoros E. Karakasidis
Apostolos Serletis
author_sort Ioannis Andreadis
collection DOAJ
description 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, 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 doaj.art-69f3412d35864a589f564fa1c5fcceff2023-01-15T12:19:21ZengSpringerOpenFinancial Innovation2199-47302023-01-019111710.1186/s40854-022-00419-5Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysisIoannis Andreadis0Athanasios D. Fragkou1Theodoros E. Karakasidis2Apostolos Serletis3University of CalgaryUniversity of CalgaryUniversity of CalgaryUniversity of CalgaryAbstract 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.https://doi.org/10.1186/s40854-022-00419-5Divisia monetary aggregatesRecurrence plotsMoving windowsDeterministic dynamicsStochastic structures
spellingShingle Ioannis Andreadis
Athanasios D. Fragkou
Theodoros E. Karakasidis
Apostolos Serletis
Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis
Financial Innovation
Divisia monetary aggregates
Recurrence plots
Moving windows
Deterministic dynamics
Stochastic structures
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 Divisia monetary aggregates
Recurrence plots
Moving windows
Deterministic dynamics
Stochastic structures
url https://doi.org/10.1186/s40854-022-00419-5
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