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Dynamic cyclical comovements between oil prices and US GDP: A wavelet perspective

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  • Benhmad, François

Abstract

In this paper, we use wavelet analysis to investigate the cyclical comovements between crude oil prices and US GDP, taking into account the decline in the volatility of US GDP growth that has occurred since the mid-1980s.

Suggested Citation

  • Benhmad, François, 2013. "Dynamic cyclical comovements between oil prices and US GDP: A wavelet perspective," Energy Policy, Elsevier, vol. 57(C), pages 141-151.
  • Handle: RePEc:eee:enepol:v:57:y:2013:i:c:p:141-151
    DOI: 10.1016/j.enpol.2013.01.017
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    Cited by:

    1. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2015. "Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate," Energy Economics, Elsevier, vol. 48(C), pages 46-60.
    2. Huang, Shupei & An, Haizhong & Gao, Xiangyun & Huang, Xuan, 2016. "Time–frequency featured co-movement between the stock and prices of crude oil and gold," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 985-995.
    3. Jia, Xiaoliang & An, Haizhong & Sun, Xiaoqi & Huang, Xuan & Wang, Lijun, 2017. "Evolution of world crude oil market integration and diversification: A wavelet-based complex network perspective," Applied Energy, Elsevier, vol. 185(P2), pages 1788-1798.
    4. repec:bla:worlde:v:40:y:2017:i:9:p:1918-1933 is not listed on IDEAS
    5. Jia, Xiaoliang & An, Haizhong & Fang, Wei & Sun, Xiaoqi & Huang, Xuan, 2015. "How do correlations of crude oil prices co-move? A grey correlation-based wavelet perspective," Energy Economics, Elsevier, vol. 49(C), pages 588-598.
    6. Kaijian He & Rui Zha & Jun Wu & Kin Keung Lai, 2016. "Multivariate EMD-Based Modeling and Forecasting of Crude Oil Price," Sustainability, MDPI, Open Access Journal, vol. 8(4), pages 1-11, April.
    7. repec:eco:journ2:2018-01-9 is not listed on IDEAS
    8. Yu, Lean & Li, Jingjing & Tang, Ling & Wang, Shuai, 2015. "Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach," Energy Economics, Elsevier, vol. 51(C), pages 300-311.
    9. Huang, Xuan & An, Haizhong & Gao, Xiangyun & Hao, Xiaoqing & Liu, Pengpeng, 2015. "Multiresolution transmission of the correlation modes between bivariate time series based on complex network theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 493-506.
    10. Martín-Barragán, Belén & Ramos, Sofia B. & Veiga, Helena, 2015. "Correlations between oil and stock markets: A wavelet-based approach," Economic Modelling, Elsevier, vol. 50(C), pages 212-227.
    11. Pradhan, Rudra P. & Arvin, Mak B. & Ghoshray, Atanu, 2015. "The dynamics of economic growth, oil prices, stock market depth, and other macroeconomic variables: Evidence from the G-20 countries," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 84-95.
    12. Haiyun Xu, 2016. "Economic policy uncertainty and housing returns in Germany: Evidence from a bootstrap rolling window," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics, vol. 34(2), pages 309-332.
    13. Florian Fizaine & Victor Court, 2016. "The energy-economic growth relationship: a new insight from the EROI perspective," Working Papers 1601, Chaire Economie du climat.
    14. Benhmad, François, 2013. "Bull or bear markets: A wavelet dynamic correlation perspective," Economic Modelling, Elsevier, vol. 32(C), pages 576-591.
    15. Xian, Lu & He, Kaijian & Lai, Kin Keung, 2016. "Gold price analysis based on ensemble empirical model decomposition and independent component analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 454(C), pages 11-23.
    16. repec:taf:applec:v:50:y:2018:i:4:p:407-425 is not listed on IDEAS
    17. Walid Mensi & Shawkat Hammoude & Seong-Min Yoon, 2014. "Structural Breaks, Dynamic Correlations, Volatility Transmission, and Hedging Strategies for International Petroleum Prices and U.S. Dollar Exchange Rate," Working Papers 884, Economic Research Forum, revised Dec 2014.
    18. Fizaine, Florian & Court, Victor, 2016. "Energy expenditure, economic growth, and the minimum EROI of society," Energy Policy, Elsevier, vol. 95(C), pages 172-186.
    19. Gazi Salah Uddin & Ahmed Taneem Muzaffar & Mohamed Arouri & Bo Sjö, 2017. "Understanding the Relationship between Inflation and Growth: A Wavelet Transformation Approach in the Case of Bangladesh," The World Economy, Wiley Blackwell, vol. 40(9), pages 1918-1933, September.
    20. Jia, Xiaoliang & An, Haizhong & Sun, Xiaoqi & Huang, Xuan & Gao, Xiangyun, 2016. "Finding the multipath propagation of multivariable crude oil prices using a wavelet-based network approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 331-344.
    21. repec:gam:jsusta:v:8:y:2016:i:4:p:387:d:68672 is not listed on IDEAS

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    Keywords

    Wavelets; Business cycle; Granger causality;

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