ID | 121350 |
Title Proper | Dynamic cyclical comovements between oil prices and US GDP |
Other Title Information | a wavelet perspective |
Language | ENG |
Author | Benhmad, Francois |
Publication | 2013. |
Summary / Abstract (Note) | In this paper, we use wavelet analysis to investigate the cyclical comovements between crude oil prices and US GDP, taking into account the decline in the volatility of US GDP growth that has occurred since the mid-1980s. Our main findings suggest that before 1984:Q1, the crude oil prices were leading the US GDP cycle by 3 quarters and Granger cause US GDP. In contrast, after 1984:Q1, the crude oil prices were lagging the US business cycle, and a reverse causality is found to run from US GDP to oil prices. The multiscale Granger causality tests globally corroborate theses results. |
`In' analytical Note | Energy Policy Vol. 57; Jun 2013: p.141-151 |
Journal Source | Energy Policy Vol. 57; Jun 2013: p.141-151 |
Key Words | Wavelets ; Business Cycle ; Granger Causality |