Revisiting the oil price and expected inflation in the U.S. - a wavelet approach

Mihai Mutascu () and Alexandre Sokic
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Mihai Mutascu: ZU Friedrichshafen; FEBA, West University of Timisoara; and LEO, University of Orléans

Economics Bulletin, 2022, vol. 42, issue 2, 959 - 964

Abstract: The paper revisits the 'oil price - expected inflation' nexus in the U.S. by using as a novelty the wavelet. The study covers 08/08/2005-14/04/2022. The main findings show that in the 'smooth' economic periods, the oil price is an important 'signal' for expected inflation on long-run. Otherwise, expected inflation influences the oil price on medium-run, during financial crises and major monetary adjustments. Pandemic or war crises have no notable implications on the 'oil price - expected inflation' nexus, other factors being more prominent. The main findings show that in the 'smooth' economic periods, the oil price is an important 'signal' for expected inflation on long-run. Otherwise, expected inflation influences the oil price on medium-run, during financial crises and major monetary adjustments. Pandemic or war crises have no notable implications on the 'oil price - expected inflation' nexus, other factors being more prominent.

Keywords: Oil price; expected inflation, shocks; wavelet; U.S. (search for similar items in EconPapers)
JEL-codes: C4 E3 (search for similar items in EconPapers)
Date: 2022-06-30
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