A Multiple and Partial Wavelet Analysis of the Oil Price, Inflation, Exchange Rate, and Economic Growth Nexus in Saudi Arabia

Chaker Aloui, Besma Hkiri, Shawkat Hammoudeh and Muhammad Shahbaz

Emerging Markets Finance and Trade, 2018, vol. 54, issue 4, 935-956

Abstract: This article provides a fresh insight into the dynamic nexus between oil prices, the Saudi/US dollar exchange rate, inflation, and output growth rate in Saudi Arabia’ economy, using novel Morlet’ wavelet methods. Specifically, it implements various tools of methodology: the continuous wavelet power spectrum, the cross-wavelet power spectrum, the wavelet coherency, the multiple and the partial wavelet coherence to the annual sample period 1969–2014. Our results unveil that the relationships among the variables evolve through time and frequency. From the time-domain view, we show strong but non-homogenous linkages between the four variables. From the frequency-domain view, we uncover significant wavelet coherences and strong lead-lag relationships. From an economic view, the wavelet analysis shows that Saudi economy is still exposed to several global risk factors, which are mainly related to the oil market volatility, and the pegging of the local currency to the US dollar. Such risk factors strongly and negatively affect the real economic growth, exert more pressure on inflation, and substantially limit the freedom to pursue an independent monetary policy.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (46)

Downloads: (external link)
http://hdl.handle.net/10.1080/1540496X.2017.1423469 (text/html)
Access to full text is restricted to subscribers.

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:mes:emfitr:v:54:y:2018:i:4:p:935-956

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

DOI: 10.1080/1540496X.2017.1423469

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().