Analysis of economic growth fluctuations based on EEMD and causal decomposition

被引:15
|
作者
Mao, Xuegeng [1 ,2 ]
Yang, Albert C. [2 ]
Peng, Chung-Kang [2 ]
Shang, Pengjian [1 ]
机构
[1] Beijing Jiaotong Univ, Sch Sci, Beijing 100044, Peoples R China
[2] Harvard Med Sch, HA Rey Inst Nonlinear Dynam Med, Beth Israel Deaconess Med Ctr, Boston, MA 02215 USA
基金
中国国家自然科学基金;
关键词
Empirical Mode Decomposition; Hilbert-Huang transform; Causal decomposition; Phase coherence; GDP time series; Economic growth fluctuation; EMPIRICAL MODE DECOMPOSITION; BUSINESS CYCLES; ENERGY-CONSUMPTION; ELECTRICITY CONSUMPTION; GRANGER CAUSALITY; PHASE; GDP; VOLATILITY; COUNTRIES; DYNAMICS;
D O I
10.1016/j.physa.2020.124661
中图分类号
O4 [物理学];
学科分类号
0702 ;
摘要
In this paper, we first apply ensemble Empirical Mode Decomposition (EEMD) to analyze the change rate of GDP time series for ten major countries. Each signal is decomposed into four modes with different scales and a residual trend. The variance contribution and averaged period cycle for each mode is then calculated. Results show that economic growth fluctuations for most of the countries mainly fluctuate at a short period between 3-5 years. Then the causal decomposition proposed by Yang et al. is utilized to detect the mutual causation among different countries. The novelty of this method is that the causal interaction is identified in instantaneous phase coherence at a specific time scale. The strengths and directions of causal relationship for each mode among countries differ from each other, which mirrors the fact that the world economic activities are fluctuated and changeable over varying periods. However, no visible causation for the fourth mode (long-term cycle) among countries is characterized, meaning that the development of economy over a long period for most countries depends on its own conditions. (C) 2020 Elsevier B.V. All rights reserved.
引用
收藏
页数:15
相关论文
共 50 条
  • [31] Public debt and economic growth: Is there a causal effect?
    Panizza, Ugo
    Presbitero, Andrea F.
    [J]. JOURNAL OF MACROECONOMICS, 2014, 41 : 21 - 41
  • [32] Decomposition analysis of decoupling freight transport from economic growth in China
    Zhu, Feng
    Wu, Xu
    Gao, Yuee
    [J]. TRANSPORTATION RESEARCH PART D-TRANSPORT AND ENVIRONMENT, 2020, 78
  • [33] Economic growth and the evolution of water consumption in Spain: A structural decomposition analysis
    Cazcarro, Ignacio
    Duarte, Rosa
    Sanchez-Choliz, Julio
    [J]. ECOLOGICAL ECONOMICS, 2013, 96 : 51 - 61
  • [34] Modal decomposition of response signals for a bridge structure based on the improved EEMD
    Chen, Yonggao
    Zhong, Zhenyu
    [J]. Zhendong yu Chongji/Journal of Vibration and Shock, 2019, 38 (10): : 23 - 30
  • [35] Forecasting Time Series Albedo Using NARnet Based on EEMD Decomposition
    Zhang, Guodong
    Zhou, Hongmin
    Wang, Changjing
    Xue, Huazhu
    Wang, Jindi
    Wan, Huawei
    [J]. IEEE TRANSACTIONS ON GEOSCIENCE AND REMOTE SENSING, 2020, 58 (05): : 3544 - 3557
  • [36] An overview of causal factors in fluctuations of some economic indices in Iran using impulse response analysis (1990–2022)
    Mohammad Reza Mansouri Daneshvar
    Ali Sohrabi
    Ali Sadeghi
    Rayeheh Khatami
    [J]. Modeling Earth Systems and Environment, 2024, 10 : 1959 - 1971
  • [37] Linear and nonlinear causal relationship between energy consumption and economic growth in China: New evidence based on wavelet analysis
    Ha, Junsheng
    Tan, Pei-Pei
    Goh, Kim-Leng
    [J]. PLOS ONE, 2018, 13 (05):
  • [38] Universal fluctuations in growth dynamics of economic systems
    Frey, Nathan C.
    Matin, Sakib
    Stanley, H. Eugene
    Salinger, Michael A.
    [J]. SCIENTIFIC REPORTS, 2019, 9 (1)
  • [39] Aggregate economic fluctuations in endogenous growth models
    Ozlu, E
    [J]. JOURNAL OF MACROECONOMICS, 1996, 18 (01) : 27 - 47
  • [40] Profit taxation, economic growth and business fluctuations
    Bianchi, Carlo
    Gallegati, Mauro
    Russo, Alberto
    Vagliasindi, Pietro A.
    [J]. ECONOMIA POLITICA, 2007, 24 (03) : 427 - 449