EconPapers    
Economics at your fingertips  
 

Revisiting global economic activity and crude oil prices: A wavelet analysis

Minyi 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)
JEL-codes: C32 C51 Q43 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999318307053
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

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

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-08-10
Handle: RePEc:eee:ecmode:v:78:y:2019:i:c:p:134-149