کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
992959 | 1481301 | 2013 | 11 صفحه PDF | دانلود رایگان |
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.Our main findings suggest that before 1984:Q1, the crude oil prices were leading the US GDP cycle by 3 quarters and Granger cause US GDP. In contrast, after 1984:Q1, the crude oil prices were lagging the US business cycle, and a reverse causality is found to run from US GDP to oil prices. The multiscale Granger causality tests globally corroborate theses results.
► Reinvestigating cyclical comovements of crude oil prices with US GDP.
► Taking into account the 1984 decline in the volatility of US GDP growth.
► Before, oil prices Granger cause US GDP, after 1984; a reverse causality.
Journal: Energy Policy - Volume 57, June 2013, Pages 141–151