Makoto Muto | Searcharxiv

arXiv2022

Synchronization analysis between exchange rates on the basis of purchasing power parity using the Hilbert transform

Synchronization is a phenomenon in which a pair of fluctuations adjust their rhythms when interacting with each other. We measure the degree of synchronization between the U.S. dollar (USD) and euro exchange rates and between the USD and Japanese yen exchange rates on the basis of purchasing power parity (PPP) over time. We employ a method of synchronization analysis using the Hilbert transform, which is common in the field of nonlinear science. We find that the degree of synchronization is high most of the time, suggesting the establishment of PPP. The degree of synchronization does not remain high across periods with economic events with asymmetric effects, such as the U.S. real estate bubble.

econ.EM↗

arXiv2022

Regional Synchronization during Economic Contraction: The Case of the U.S. and Japan

Two decades of studies have found significant regional differences in the timing of transitions in national business cycles and their durations. Earlier studies partly detect regional synchronization during business cycle expansions and contractions in Europe, the United States, and Japan. We examine this possibility applying a sophisticated method for identifying the time-varying degree of synchronization to regional business cycle data in the U.S. and Japan. The method is prominent in nonlinear sciences but has been infrequently applied in business cycle studies.We find that synchronization in regional business cycles increased during contractions and decreased during expansions throughout the period under study.Such asymmetry between the contraction and expansion phases of a business cycle will contribute our better understanding of the phenomenon of business cycles.

econ.GN↗