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Abstract

The present paper addresses the question of the oil price-macroeconomy relationship using world data and a time scale decomposition based on the theory of wavelets. Our approach is based on a global indicator, the Morgan Stanley Capital International (MSCI) Index for the World, and on the new framework offered by wavelets to analyse the oil price cycles and to investigate the oil price-MSCI relationship. This original approach enables us to identify that the cycles which contribute the most to oil price variations are 20 to 40 years cycles, which correspond to the size of Kuznets infrastructure cycles and probably represent energy investment cycles. This wavelet decomposition also provides additional evidence to the "reverse causality" theory.

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Bibliographic Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 33 (2011)
Issue (Month): 2 (March)
Pages: 338-352

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Handle: RePEc:eee:eneeco:v:33:y:2011:i:2:p:338-352

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Web page: http://www.elsevier.com/locate/eneco

Related research

Keywords: Oil price Cycles Wavelet decomposition;

References

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1. Robert Barsky & Lutz Kilian, 2004. "Oil and the Macroeconomy Since the 1970s," NBER Working Papers 10855, National Bureau of Economic Research, Inc.
   
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Citations

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Cited by:

1. Thomas Conlon & John Cotter, 2012. "Downside risk and the energy hedger's horizon," Working Papers 201219, Geary Institute, University College Dublin.
   
   • Conlon, Thomas & Cotter, John, 2013. "Downside risk and the energy hedger's horizon," Energy Economics, Elsevier, vol. 36(C), pages 371-379.
2. Lukas Vacha & Karel Janda & Ladislav Kristoufek & David Zilberman, 2012. "Time-Frequency Dynamics of Biofuels-Fuels-Food System," Papers 1209.0900, arXiv.org.
3. Vacha, Lukas & Barunik, Jozef, 2012. "Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis," Energy Economics, Elsevier, vol. 34(1), pages 241-247.
   
   • Lukas Vacha & Jozef Barunik, 2012. "Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis," Papers 1201.4776, arXiv.org.

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