QE-wavelet-analysis

Octave/Matlab code from my diploma thesis Wavelet analysis of quantitative easing in Japan (local PDF, external link).

Octave code in this repo relies on proprietary ASToolbox2018 to be used. To run ASToolbox2018 in Octave you have to omit ’Edgecolor’,[.7 .7 .7] option from the contour() function. If you want to use xlsread() function, you need to load io package by writing pkg load io in your script. In case it is not already installed, type pkg install -forge io in the command window. Beside that, ASToolbox2018 works just fine in Octave and produces output virtually identical to that of Matlab.

Available scripts are:

• Common.m: common Code for all scripts
• PowerSpectrum.m: wavelet power spectrum
• Coherency.m: wavelet coherency phase-difference and gains
• Multiple.m: multiple wavelet coherency
• Partial.m: partial wavelet coherency
• Partial_PhaseDiff.m: partial wavelet coherency phase-difference and gains

To make thesis results reproducible data.csv is also included:

• fx: BOJ Time-Series Data Search, FM09'FX180110002 (Real/Effective Exchange Rates)
• reserve: BOJ Time-Series Data Search, MD01'MABS1AA11X12 (Monetary Base/Seasonally Adjusted (X-12-ARIMA)/Average Amounts Outstanding)
• GDP: data IMF, Gross Domestic Product and Components selected indicators
• CPI: Statistics of Japan, Consumer Price Index 2015-Base Consumer Price Index

For more information see my thesis.