 Revisiting global economic activity and crude oil prices: A wavelet analysisMinyi Dong, Chun-Ping Chang, Qiang Gong and Yin Chu Economic Modelling, 2019, vol. 78, issue C, 134-149 Abstract: Based on the wavelet analysis approach, this paper firstly examines the dynamic relationship between global economic activity (proxied by the Kilian economic index) and crude oil prices in both time- and frequency-domains. Our empirical results demonstrate significant correlation between crude oil prices and global economic activity at high frequencies (in the short run) during the entire sample period; however, the co-movement between the two at low frequencies (in the long run) is weaker and exists only during certain proportions of the sample period. We also document evidence that global economic activity and oil price are positively correlated, with dynamic lead-lag relationships across time. Our findings are robust to alternative choices of oil price indexes and controlling for other confounding factors such as geopolitical risk, armed conflicts, economic policy uncertainty and equity market uncertainty. The current study provides valuable implications for oil market investors based on the information of global economic situation and its dynamic relationships with oil prices. Keywords: Global economic activities; Crude oil price; Wavelet coherency; Phase difference; Time-frequency domain (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:78:y:2019:i:c:p:134-149 DOI: 10.1016/j.econmod.2018.08.012 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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