Cliometrica

, Volume 11, Issue 1, pp 127–151 | Cite as

Long waves in prices: new evidence from wavelet analysis

  • Marco Gallegati
  • Mauro Gallegati
  • James B. Ramsey
  • Willi Semmler
Original Paper

Abstract

In this paper we apply wavelet analysis to study the dynamics of long-term movements in wholesale prices for the USA, the UK and France over the period 1791–2012. The application of wavelet analysis to long-term historical price series allows us to detect long waves in prices whose periodization is remarkably similar to those provided in the literature for the pre-World War II period. Moreover, we find evidence on the existence of long waves in prices also after World War II, a period in which long waves are generally difficult to detect because of the positive trend displayed by prices. The comparison between the long wave components extracted through wavelets and the Christiano–Fitzgerald band-pass filter suggests that wavelets provide a reliable and straightforward technique for analyzing long waves dynamics in time series exhibiting quite complex patterns such as historical data.

Keywords

Long waves Wavelets Band-pass filter Wholesale prices 

JEL Classification

B1 B2 B5 C1 E3 

Notes

Acknowledgments

A preliminary version of the paper has been presented at the 16th Conference of the Association for Heterodox Economics, University of Greenwich, London, Uk, 2–4 July 2014. We thank participant for their useful comments. We would like to thank three anonymous reviewers whose careful reading and valuable comments considerably improved our original text. The responsibility for all remaining errors is, of course, ours.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2015

Authors and Affiliations

  1. 1.Department of Economics and Social Sciences, Faculty of Economics “G. Fuá”Università Politecnica delle MarcheAnconaItaly
  2. 2.Department of EconomicsNew York UniversityNew YorkUSA
  3. 3.Department of EconomicsNew School for Social ResearchNew YorkUSA
  4. 4.CEM University of BielefeldBielefeldGermany

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