Oil price cycles and wavelets
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
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.:
- Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, March.
- Kiseok Lee & Shawn Ni & Ronald A. Ratti, 1995. "Oil Shocks and the Macroeconomy: The Role of Price Variability," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 39-56.
- Kyongwook Choi & Shawkat Hammoudeh, 2009. "Long Memory in Oil and Refined Products Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 97-116.
- V.V. Chari & Patrick J. Kehoe & Ellen McGrattan, 2004.
"Business Cycle Accounting,"
NBER Working Papers
10351, National Bureau of Economic Research, Inc.
- V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2006. "Business cycle accounting," Staff Report 328, Federal Reserve Bank of Minneapolis.
- V. V. Chari & Patrick Kehoe & Ellen McGrattan, 2004. "Business Cycle Accounting," Levine's Bibliography 122247000000000560, UCLA Department of Economics.
- V V Chari & Patrick J Kehoe & Ellen R. McGrattan, 2003. "Business Cycle Accounting," Levine's Bibliography 506439000000000421, UCLA Department of Economics.
- V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2002. "Business cycle accounting," Working Papers 625, Federal Reserve Bank of Minneapolis.
- Christina D. Romer, 1999.
"Changes in Business Cycles: Evidence and Explanations,"
NBER Working Papers
6948, National Bureau of Economic Research, Inc.
- Christina D. Romer, 1999. "Changes in Business Cycles: Evidence and Explanations," Journal of Economic Perspectives, American Economic Association, vol. 13(2), pages 23-44, Spring.
- 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.
- Lutz Kilian, 2008. "Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?," The Review of Economics and Statistics, MIT Press, vol. 90(2), pages 216-240, May.
- Schmitt-Grohé, Stephanie & Uribe, Martín, 2009.
"What’s News in Business Cycles,"
CEPR Discussion Papers
7201, C.E.P.R. Discussion Papers.
- Robert Barsky & Lutz Kilian, 2004.
"Oil and the Macroeconomy Since the 1970s,"
NBER Working Papers
10855, National Bureau of Economic Research, Inc.
- James D. Hamilton, 2009.
"Understanding Crude Oil Prices,"
The Energy Journal,
International Association for Energy Economics, vol. 0(Number 2), pages 179-206.
- Naccache, Théo, 2010. "Slow oil shocks and the "weakening of the oil price-macroeconomy relationship"," Energy Policy, Elsevier, vol. 38(5), pages 2340-2345, May.
- Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-65, September.
- Kaul, Gautam & Seyhun, H Nejat, 1990. " Relative Price Variability, Real Shocks, and the Stock Market," Journal of Finance, American Finance Association, vol. 45(2), pages 479-96, June.
- Jeffrey A. Krautkraemer, 1998. "Nonrenewable Resource Scarcity," Journal of Economic Literature, American Economic Association, vol. 36(4), pages 2065-2107, December.
- Lucas, Robert E, Jr, 1975. "An Equilibrium Model of the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 83(6), pages 1113-44, December.
- Elder, John & Serletis, Apostolos, 2008. "Long memory in energy futures prices," Review of Financial Economics, Elsevier, vol. 17(2), pages 146-155.
- Ewing, Bradley T. & Thompson, Mark A., 2007. "Dynamic cyclical comovements of oil prices with industrial production, consumer prices, unemployment, and stock prices," Energy Policy, Elsevier, vol. 35(11), pages 5535-5540, November.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
- 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 740-44, June.
When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:33:y:2011:i:2:p:338-352. 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: (Zhang, Lei)
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.