The Dynamic Relationships between Oil Prices and the Japanese Economy: A Frequency Domain Analysis
This paper investigates the dynamic relationships between oil prices and the Japanese economy from a frequency domain perspective. Both the frequency domain causality test of Breitung and Candelon (2006) and the frequency dependent regression method developed by Ashley and Verbrugge (2009) are deployed in this research. The frequency dependent regression analysis indicates that nonlinear relationships exist between oil prices and the variables such as industrial production and consumer price index at the low frequencies, while the nonlinear associations at the high frequencies are merely detected between oil prices and unemployment rates. The results of the frequency domain causality tests suggest that oil prices have significant predictive power for industrial production, consumer price index and unemployment rates at the low frequencies. In addition, oil prices can predict industrial production and unemployment rates at some higher frequencies.
Volume (Year): 3 (2013)
Issue (Month): (May)
|Contact details of provider:|| Postal: 17 Alton Towers Circle, Unit 101 Toronto, ON, M1V3L8, Canada|
Web page: http://www.bapress.ca
|Order Information:|| Postal: 17 Alton Towers Circle, Unit 101 Toronto, ON, M1V3L8, Canada|
References listed on IDEAS
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.:
- Assenmacher-Wesche, Katrin & Gerlach, Stefan & Sekine, Toshitaka, 2008.
"Monetary factors and inflation in Japan,"
Journal of the Japanese and International Economies,
Elsevier, vol. 22(3), pages 343-363, September.
- Katrin Assenmacher-Wesche & Stefan Gerlach & Toshitaka Sekine, 2007. "Monetary Factors and Inflation in Japan," Working Papers 2007-13, Swiss National Bank.
- Assenmacher-Wesche, Katrin & Gerlach, Stefan & Sekine, Toshitaka, 2008. "Monetary Factors and Inflation in Japan," CEPR Discussion Papers 6650, C.E.P.R. Discussion Papers.
- Assenmacher-Wesche, Katrin & Gerlach, Stefan & Sekine, Toshitaka, 2007. "Monetary factors and inflation in Japan," IMFS Working Paper Series 13, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Clive, W.J. & Lin, Jin-Lung, 1995. "Causality in the Long Run," Econometric Theory, Cambridge University Press, vol. 11(03), pages 530-536, June.
- Bodart, Vincent & Candelon, Bertrand, 2009. "Evidence of interdependence and contagion using a frequency domain framework," Emerging Markets Review, Elsevier, vol. 10(2), pages 140-150, June.
- Bodart Vincent & Candelon Bertrand, 2005. "Evidences of Interdependence and Contagion using a Frequency Domain Framework," Research Memorandum 024, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Lee, Byung Rhae & Lee, Kiseok & Ratti, Ronald A., 2001. "Monetary policy, oil price shocks, and the Japanese economy," Japan and the World Economy, Elsevier, vol. 13(3), pages 321-349, August.
- Zhang, Dayong, 2008. "Oil shock and economic growth in Japan: A nonlinear approach," Energy Economics, Elsevier, vol. 30(5), pages 2374-2390, September.
- Hutchison, Michael M., 1993. "Structural change and the macroeconomic effects of oil shocks: empirical evidence from the United States and Japan," Journal of International Money and Finance, Elsevier, vol. 12(6), pages 587-606, December.
- Michael M. Hutchison, 1992. "Structural change and the macroeconomic effects of oil shocks: empirical evidence from the United States and Japan," Pacific Basin Working Paper Series 92-06, Federal Reserve Bank of San Francisco.
- Ashley, Richard, 1984. "A Simple Test for Regression Parameter Instability," Economic Inquiry, Western Economic Association International, vol. 22(2), pages 253-268, April.
- Cunado, J. & Perez de Gracia, F., 2005. "Oil prices, economic activity and inflation: evidence for some Asian countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(1), pages 65-83, February.
- Juncal Cunado & Fernando PÃ©rez de Gracia, 2004. "Oil Prices, Economic Activity and Inflation: Evidence for Some Asian Countries," Faculty Working Papers 06/04, School of Economics and Business Administration, University of Navarra.
- Engle, Robert F, 1978. "Testing Price Equations for Stability across Spectral Frequency Bands," Econometrica, Econometric Society, vol. 46(4), pages 869-881, July.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-248, April.
- Marc Gronwald, 2009. "Reconsidering the macroeconomics of the oil price in Germany: testing for causality in the frequency domain," Empirical Economics, Springer, vol. 36(2), pages 441-453, May.
- Hooker, Mark A., 1996. "What happened to the oil price-macroeconomy relationship?," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 195-213, October.
- Ciner, Cetin, 2011. "Eurocurrency interest rate linkages: A frequency domain analysis," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 498-505, October.
- Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
- R. F. Engle, 1972. "Band Spectrum Regressions," Working papers 96, Massachusetts Institute of Technology (MIT), Department of Economics.
- Richard Ashley & Randal Verbrugge, 2009. "Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 4-20.
- Richard A. Ashley. & Randall J. Verbrugge, 2006. "Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series," Working Papers e06-7, Virginia Polytechnic Institute and State University, Department of Economics.
- Yanfeng Wei, 2013. "Commodity prices, manufactured goods prices and inflation: evidence from Japan," Economics Bulletin, AccessEcon, vol. 33(2), pages 986-992.
- Harvey, Andrew C, 1978. "Linear Regression in the Frequency Domain," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(2), pages 507-512, June.
- Tan, Hui Boon & Ashley, Richard, 1999. "Detection And Modeling Of Regression Parameter Variation Across Frequencies," Macroeconomic Dynamics, Cambridge University Press, vol. 3(01), pages 69-83, March.
- Knut Anton Mork & Oystein Olsen & Hans Terje Mysen, 1994. "Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 19-36.
- Mork, Knut Anton, 1989. "Oil and Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 740-744, June.
- Sven Schreiber, 2009. "Low-frequency determinants of inflation in the euro area," IMK Working Paper 6-2009, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, vol. 132(2), pages 363-378, June. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:bap:journl:130205. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Carlson)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.