Dynamic Wavelet-Based Causal Relationship between Equity Returns and Aggregate Economic Activity in G7 and E7 Countries

Remzi Gök
2019 Anadolu Üniversitesi Sosyal Bilimler Dergisi  
way causalities for all countries. On the other hand, the wavelet variance of equity return is found to be more volatile and their most of volatilities are explained by short-term fluctuations. Finally, the wavelet variance decreases while correlation increases as the wavelet scale increase in all countries. Overall, the results of this study have significant suggestions for policy-makers and market participants, which are not possible with standard methods, before implementing policy rate and
more » ... ng policy rate and investment decisions.
doi:10.18037/ausbd.550252 fatcat:dkkce3fclfcwtcv3o6sopmvvf4