Browsing by Author "Andreadis, Ioannis"

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    Correction: Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis
    (2023-02-08) Andreadis, Ioannis; Fragkou, Athanasios D.; Karakasidis, Theodoros E.; Serletis, Apostolos
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    Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis
    (2023-01-10) Andreadis, Ioannis; Fragkou, Athanasios D.; Karakasidis, Theodoros E.; Serletis, Apostolos
    Abstract 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 latest 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.
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    The credit card-augmented Divisia monetary aggregates: an analysis based on recurrence plots and visual boundary recurrence plots
    (2024-04-01) Andreadis, Ioannis; Fragkou, Athanasios D.; Karakasidis, Theodoros E.; Serletis, Apostolos
    Abstract In this paper, we compare the dynamics of the growth rates of the original Divisia monetary aggregates, the credit card-augmented Divisia monetary aggregates, and the credit card-augmented Divisia inside monetary aggregates. This analysis is based on the methods of recurrence plots, recurrence quantification analysis, and visual boundary recurrence plots which are phase space methods designed to depict the underlying dynamics of the system under study. We identify the events that affected Divisia money growth and point out the differences among the different Divisia monetary aggregates based on the recurrence and visual boundary recurrence plots. We argue that the broad Divisia monetary aggregates could be used for monetary policy and business cycle analysis as they are exhibiting less fluctuation compared to the narrow Divisia monetary aggregates. They could positively affect policy decisions regarding environmental choices and sustainability. We also point out the changes in the monetary dynamics locating the 2008 global financial crisis and the Covid-19 pandemic.