Testing for wavelet based time-frequency relationship between oil prices and US economic activity
Syed Raza,
Muhammad Shahbaz,
Rafi Amir-ud-Din,
Rashid Sbia and
Nida Shah
Energy, 2018, vol. 154, issue C, 571-580
Abstract:
This study investigates the empirical association of oil prices with economic activity in developed open economy namely: The United States by using the wavelet transform framework. This methodology enables the decomposition of time-series at different time-frequencies. In this study, we have used maximal overlap discrete wavelet transform, wavelet covariance, wavelet correlation, continuous wavelet power spectrum, wavelet coherence spectrum and wavelet based Granger causality approaches to analyze the relationship between oil prices and economic activity. The present study uses month frequency data for the period of 1979M1-2013M7. The results indicate that oil prices have positive impact on economic activity and the feedback effect exists between oil prices and economic activity.
Keywords: Discrete wavelet analysis; Wavelet coherence; Oil prices; Economic activity (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0360544218302652
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Testing for wavelet based time-frequency relationship between oil prices and US economic activity (2018)
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:energy:v:154:y:2018:i:c:p:571-580
DOI: 10.1016/j.energy.2018.02.037
Access Statistics for this article
Energy is currently edited by Henrik Lund and Mark J. Kaiser
More articles in Energy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().