Following publication of the original article(Andreadis et al.2023),the authors reported that they mistakenly omitted the affiliations 1,2 and 3 for Ioannis Andreadis,Athanasios D.Fragkou and Theodoros E.Karakasidis.T...Following publication of the original article(Andreadis et al.2023),the authors reported that they mistakenly omitted the affiliations 1,2 and 3 for Ioannis Andreadis,Athanasios D.Fragkou and Theodoros E.Karakasidis.The correct affiliations for each author should read.展开更多
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 State...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 lat-est 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.展开更多
文摘Following publication of the original article(Andreadis et al.2023),the authors reported that they mistakenly omitted the affiliations 1,2 and 3 for Ioannis Andreadis,Athanasios D.Fragkou and Theodoros E.Karakasidis.The correct affiliations for each author should read.
文摘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 lat-est 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.
