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

作　　者：Ioannis Andreadis Athanasios D.Fragkou Theodoros E.Karakasidis Apostolos Serletis 

机构地区：[1]International School of The Hague,Wijndaelerduin 1,2554,BX,The Hague,The Netherlands [2]Department of Civil Engineering,University of Thessaly,38334 Volos,Greece [3]Condensed Matter Physics Laboratory,Department of Physics,University of Thessaly,35100 Lamia,Greece [4]University of Calgary,Calgary,AB,Canada

出　　处：《Financial Innovation》2023年第1期467-483,共17页金融创新（英文）

摘　　要：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.

关 键 词：Divisia monetary aggregates Recurrence plots Moving windows Deterministic dynamics Stochastic structures 

分 类 号：F822[经济管理—财政学]