Time-frequency relationship between US output with commodity and asset prices

Aviral Tiwari, Claudiu Albulescu () and Rangan Gupta

Applied Economics, 2016, vol. 48, issue 3, 227-242

Abstract: Commodity and asset prices have a well-documented effect on economic growth as manifested through various channels. At the same time, the business cycle influences the commodity and asset prices. Whereas empirical evidence on the effect of commodity and asset prices on the long-run economic growth is ambiguous, most of the previous researches highlight a positive correlation in the short run. The aim of this article is to disentangle the short- and long-run co-movements between US historical business cycles and commodity and asset prices over the period 1859-2013. For this purpose, we use a time-frequency approach and we test the historical influence of oil, gold, housing and stock prices over the output growth. In contrast to other studies, we control for the effect of other prices and monetary conditions, using the wavelet partial coherency. In line with the previous works, we discover that co-movements between economic growth and commodity and assets prices manifest especially in the short run. We also find that stock returns and housing prices have a more powerful effect on the US economic growth rate than the oil and gold prices. The long-run co-movements are documented especially around the World War II. Finally, when controlling for the influence of the interest rate, inflation and other commodity and asset prices, co-movements become weaker in the short run. In general, the oil and housing prices lead the GDP growth, the US output leads the gold prices, while there is no clear causality direction between business cycle and stock prices.

Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2015.1076154 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Time-Frequency Relationship between U.S. Output with Commodity and Asset Prices (2015)
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:taf:applec:v:48:y:2016:i:3:p:227-242

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2015.1076154

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().