Oil prices and the macroeconomy reconsideration for Germany: Using continuous wavelet
AbstractThe cross wavelet analysis is used in the study to decompose the time–frequency effects of oil price changes on the German macroeconomy. We argue that the relationship between oil prices and industrial production is ambiguous. Our results show that there are both phase and anti-phase relationships between oil price returns and inflation and in most of the cases inflation is the leading variable. Additional evidence shows that there is a huge inconsistency between the phase-difference of the return series of oil price and industrial production at the 12–16month frequency bands but at the 16–24month frequency bands, we find that oil price changes that have occurred during 1982–2009 were demand-driven. In a nutshell our results suggest that oil price changes that have occurred after 1994 were demand-driven and the volatility of the inflation rate started to decrease after the 1990s but the volatility of the industrial output growth rate started to decrease after the 2000s.
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Bibliographic InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 30 (2013)
Issue (Month): C ()
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Web page: http://www.elsevier.com/locate/inca/30411
Business cycles; Oil shocks; Wavelets; Cross wavelets; Wavelet coherency;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
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- Mohamed Arouri & Aviral Kumar Tiwari & Frédéric Teulon, 2014.
"Oil prices and trade balance: a frequency domain analysis for India,"
2014-116, Department of Research, Ipag Business School.
- Aviral Kumar Tiwari & Mohamed Arouri & Frédéric Teulon, 2014. "Oil prices and trade balance: A frequency domain analysis for India," Economics Bulletin, AccessEcon, vol. 34(2), pages 663-680.
- Aviral Kumar Tiwari & Olaolu Richard Olayeni, 2013. "Oil prices and trade balance: A wavelet based analysis for India," Economics Bulletin, AccessEcon, vol. 33(3), pages 2270-2286.
- Gazi Salah Uddin & Ilhan Ozturk & Ahmed Taneem Muzaffar & Duc Khuong Nguyen, 2014. "The time scale behavior of oil-stock relationships: what we learn from the ASEAN-5 countries," Working Papers 2014-441, Department of Research, Ipag Business School.
- Tiwari, Aviral Kumar & Oros, Cornel & Albulescu, Claudiu Tiberiu, 2014. "Revisiting the inflation–output gap relationship for France using a wavelet transform approach," Economic Modelling, Elsevier, vol. 37(C), pages 464-475.
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