Proceedings of the 20th International Academic Conference, Madrid

A DYNAMIC ANALYSIS OF RELEVANT VARIABLES IN THE SPANISH ECONOMY USING DECOMPOSITION DATA SERIES WITH DAUBECHIES WAVELETS

CONCEPCIÓN GONZÁLEZ-CONCEPCIÓN, MARÍA CANDELARIA GIL-FARIÑA, CELINA PESTANO-GABINO

Abstract:

We illustrate some aspects of the economic situation in Spain following the dynamic of data series of six relevant economic and financial variables: A financial index (IBEX35), a row material (Crude Oil Price in euros, COP), a foreign exchange index (EUR/USD), a bonus (Spain 10-Years, S10YB), the total state debt (Spain State Debt, SSD) and Consumer Price Index (CPI) variables (from es.investing.com, indexmundi.com, www.bde.es and www.ine.es). We analyse the decomposition of non‐stationary rates monthly series in the period 2000M1-2014M12 using Daubechies wavelets db8 to visualized high frequency variance, seasonality and trend. We present several figures illustrating the decomposition in both time and frequency domains and tables containing the relevant frequency indices for the different detail series obtained.

Keywords: Spanish Economy, Dynamic Analysis, Wavelets

DOI: 10.20472/IAC.2015.020.038

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