Dynamic cyclical comovements between oil prices and US GDP: A wavelet perspective

In this paper, we use wavelet analysis to investigate the cyclical comovements between crude oil prices and US GDP, taking into account the decline in the volatility of US GDP growth that has occurred since the mid-1980s.

[1]  Ingrid Daubechies,et al.  Ten Lectures on Wavelets , 1992 .

[2]  M. Priestley.  Evolutionary Spectra and Non‐Stationary Processes , 1965 .

[3]  François Benhmad.  A wavelet analysis of oil price volatility dynamic , 2011 .

[4]  Apostolos Serletis,et al.  Business Cycles and Natural Gas Prices , 2005 .

[5]  Chang‐Jin Kim,et al.  Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle , 1999, Review of Economics and Statistics.

[6]  Dennis Gabor,et al.  Theory of communication , 1946 .

[7]  C. Granger,et al.  Spectral Analysis for Economic Time Series , 1964 .

[8]  E. Pesavento,et al.  OIL PRICE SHOCKS, SYSTEMATIC MONETARY POLICY, AND THE “GREAT MODERATION” , 2009, Macroeconomic Dynamics.

[9]  Mine K. Yücel,et al.  Energy prices and aggregate economic activity: an interpretative survey , 2002 .

[10]  Ibrahim Ahamada,et al.  Classical vs wavelet-based filters Comparative study and application to business cycle , 2010 .

[11]  F. In,et al.  The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses , 2003 .

[12]  E. Prescott,et al.  Postwar U.S. Business Cycles: An Empirical Investigation , 1997 .

[13]  Tryphon Kollintzas,et al.  Stylized Facts of Business Cycles in the G7 from a Real Business Cycles Perspective , 1994 .

[14]  Olivier J. Blanchard,et al.  The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so Different from the 1970s? , 2007 .

[15]  Marianne Baxter,et al.  Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series , 1995, Review of Economics and Statistics.

[16]  D. Andrews.  Tests for Parameter Instability and Structural Change with Unknown Change Point , 1993 .

[17]  James D. Hamilton.  Oil and the Macroeconomy since World War II , 1983, Journal of Political Economy.

[18]  James A. Kahn,et al.  On the Causes of the Increased Stability of the U.S. Economy , 2002 .

[19]  J. B. Ramsey,et al.  DECOMPOSITION OF ECONOMIC RELATIONSHIPS BY TIMESCALE USING WAVELETS , 1998, Macroeconomic Dynamics.

[20]  L. Kilian.  A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries , 2008 .

[21]  Patrick M. Crowley,et al.  Long Cycles in Growth: Explorations Using New Frequency Domain Techniques with US Data , 2010 .

[22]  James D. Hamilton.  This is what happened to the oil price-macroeconomy relationship , 1996 .

[23]  Patrick M. Crowley,et al.  Decomposing the Co-Movement of the Business Cycle: A Time-Frequency Analysis of Growth Cycles in the Euro Area , 2005 .

[24]  Kiseok Lee,et al.  Oil Shocks and the Macroeconomy: The Role of Price Variability* , 1995 .

[25]  Knut Anton Mork,et al.  Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results , 1989, Journal of Political Economy.

[26]  Margaret Mary McConnell,et al.  Output Fluctuations in the United States: What Has Changed Since the Early 1980s? , 1998 .

[27]  A. Ozun,et al.  Multi-scale Causality between Energy Consumption and GNP in Emerging Markets: Evidence from Turkey , 2007 .

[28]  Steven J. Davis,et al.  Sectoral Job Creation and Destruction Responses to Oil Price Changes , 1999 .

[29]  F. In,et al.  The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis , 2006 .

[30]  Lutz Kilian,et al.  Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008? , 2009 .

[31]  Chang‐Jin Kim,et al.  The Less-Volatile U.S. Economy , 2004 .

[32]  G. Shukur,et al.  An illustration of the causality relation between government spending and revenue using wavelet analysis on Finnish data , 2003 .

[33]  François Benhmad.  Noise traders or Fundamentalists? A Wavelet approach , 2011 .

[34]  Mark A. Thompson,et al.  Dynamic cyclical comovements of oil prices with industrial production, consumer prices, unemployment, and stock prices , 2007 .

[35]  C. Granger.  Investigating Causal Relations by Econometric Models and Cross-Spectral Methods , 1969 .

[36]  Oil and the economy , 1988 .

[37]  Chang-Jin Kim,et al.  The Less-Volatile U.S. Economy , 2001 .

[38]  M. Hooker,et al.  What happened to the oil price-macroeconomy relationship? , 1996 .

[39]  François Benhmad.  Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach , 2012 .

[40]  L. Hurwicz,et al.  Measuring Business Cycles. , 1946 .

[41]  James D. Hamilton.  What is an Oil Shock? , 2000 .

[42]  D. Andrews,et al.  Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative , 1992 .

[43]  James H. Stock,et al.  Has the Business Cycle Changed? Evidence and Explanations , 2003 .

[44]  Motohiro Yogo,et al.  Measuring Business Cycles: A Wavelet Analysis of Economic Time Series , 2008 .

[45]  Mehmet Dalkir.  A new approach to causality in the frequency domain , 2004 .

[46]  Olivier J. Blanchard,et al.  The Long and Large Decline in U.S. Output Volatility , 2001 .

[47]  Marianne Baxter,et al.  Real exchange rates and real interest differentials: Have we missed the business-cycle relationship? , 1994 .

[48]  L. Kilian.  Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market , 2006 .

[49]  L. Kilian,et al.  How sensitive are consumer expenditures to retail energy prices , 2009 .

[50]  Stéphane Mallat,et al.  A Theory for Multiresolution Signal Decomposition: The Wavelet Representation , 1989, IEEE Trans. Pattern Anal. Mach. Intell..

[51]  Paul Leiby,et al.  Oil Price Shocks and the Macroeconomy: What Has Been Learned Since 1996 , 2004 .