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Oil and the macroeconomy: using wavelets to analyze old issues

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  • Luís Aguiar-Conraria

    ()

  • Maria Soares

    ()

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 40 (2011)
Issue (Month): 3 (May)
Pages: 645-655

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Handle: RePEc:spr:empeco:v:40:y:2011:i:3:p:645-655

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Related research

Keywords: Business cycles; Oil shocks; Wavelets; Cross wavelets; Wavelet coherency; E32; Q43; C49;

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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 91(2), pages 228-48, April.
  2. Christiane Baumeister & Gert Peersman, 2013. "Time-Varying Effects of Oil Supply Shocks on the US Economy," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(4), pages 1-28, October.
  3. James D. Hamilton, 1985. "Historical Causes of Postwar Oil Shocks and Recessions," The Energy Journal, International Association for Energy Economics, International Association for Energy Economics, vol. 0(Number 1), pages 97-116.
  4. Patrick M. Crowley & David G. Mayes, 2008. "How fused is the euro area core?: An evaluation of growth cycle co-movement and synchronization using wavelet analysis," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2008(1), pages 63-95.
  5. Gisser, Micha & Goodwin, Thomas H, 1986. "Crude Oil and the Macroeconomy: Tests of Some Popular Notions: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 18(1), pages 95-103, February.
  6. Kilian, Lutz, 2005. "Exogenous Oil Supply Shocks: How Big Are They and How Much do they Matter for the US Economy?," CEPR Discussion Papers 5131, C.E.P.R. Discussion Papers.
  7. James D. Hamilton, 2000. "What is an Oil Shock?," NBER Working Papers 7755, National Bureau of Economic Research, Inc.
  8. Kilian, Lutz, 2007. "The Economic Effects of Energy Price Shocks," CEPR Discussion Papers 6559, C.E.P.R. Discussion Papers.
  9. Luís Aguiar-Conraria & Yi Wen, 2007. "Understanding the Large Negative Impact of Oil Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 39(4), pages 925-944, 06.
  10. Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists ," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, 04.
  11. Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(6), pages 3061-3074, February.
  12. Olivier Blanchard & John Simon, 2001. "The Long and Large Decline in U.S. Output Volatility," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(1), pages 135-174.
  13. Ombao, Hernando & von Sachs, Rainer & Guo, Wensheng, 2005. "SLEX Analysis of Multivariate Nonstationary Time Series," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 100, pages 519-531, June.
  14. Hooker, Mark A., 1996. "This is what happened to the oil price-macroeconomy relationship: Reply," Journal of Monetary Economics, Elsevier, Elsevier, vol. 38(2), pages 221-222, October.
  15. Crowley , Patrick & Maraun , Douglas & Mayes , David, 2006. "How hard is the euro are core? An evaluation of growth cycles using wavelet analysis," Research Discussion Papers 18/2006, Bank of Finland.
  16. Ramsey James B. & Lampart Camille, 1998. "The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(1), pages 1-22, April.
  17. Luís Francisco Aguiar-Conraria & Maria Joana Soares & Nuno Azevedo, 2007. "Using Wavelets to decompose time-frequency economic relations," NIPE Working Papers, NIPE - Universidade do Minho 17/2007, NIPE - Universidade do Minho.
  18. Hooker, Mark A., 1996. "What happened to the oil price-macroeconomy relationship?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 38(2), pages 195-213, October.
  19. Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, vol. 99(3), pages 1053-69, June.
  20. Gallegati Marco & Gallegati Mauro, 2007. "Wavelet Variance Analysis of Output in G-7 Countries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(3), pages 1-25, September.
  21. Hamilton, James D., 1996. "This is what happened to the oil price-macroeconomy relationship," Journal of Monetary Economics, Elsevier, Elsevier, vol. 38(2), pages 215-220, October.
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