arXiv 17 Oct 2020 · Econometrics · publishedThe North American Journal of Economics and Finance (2024) · 2 citations (OpenAlex)
arXiv:2010.08825 · PDF · DOI · OpenAlex · Extracted main text
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.
appendix boundary found by appendix_titled_section at “Appendix A. Theories of Exchange Rate Determination” · 72% of the source is main text. Read the extracted text to check this.
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