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How monetary policy and supply chain shocks impact the consumer energy prices using nonlinear ARDL and wavelet coherence approach

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  • Wang, Zhi
  • Peng, Xingxing

Abstract

The persistent supply chain bottlenecks and monetary policy substantially influence energy prices; however, these factors affect energy prices asymmetrically. Therefore, this study determines the time varying and asymmetric influence of monetary policy shocks (MPS) and supply chain shocks on energy prices in the US. This study adopts a nonlinear autoregressive distributed lag and wavelet coherence models using the monthly data from 1998 to 2021 in empirical investigation. The long-run findings reveal that a positive shock in supply chain pressure stimulates energy prices, while a negative shock in supply chain pressure reduces energy prices. Besides, the positive monetary policy shock increases energy prices, and negative shock has insignificant effects on energy prices in the long run. The short-run estimates exhibit that positive supply chain pressure and monetary policy shocks do not impact energy prices. However, negative supply chain shocks (monetary policy shocks) increases (decreases) energy prices in the short run. Moreover, the time-varying wavelet coherence approach affirms a strong coherence between MPS, supply chian pressure, and energy prices, while the impacts differ at variant frequency and time domains. Overall, the asymmetric and time-frequency findings provide valuable policies to the US policymakers.

Suggested Citation

  • Wang, Zhi & Peng, Xingxing, 2025. "How monetary policy and supply chain shocks impact the consumer energy prices using nonlinear ARDL and wavelet coherence approach," Energy Economics, Elsevier, vol. 147(C).
    • Handle: RePEc:eee:eneeco:v:147:y:2025:i:c:s0140988325004220
    DOI: 10.1016/j.eneco.2025.108598
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