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Dynamic cyclical comovements between oil prices and US GDP: A wavelet perspective

Author:
Benhmad, François
Source:
Energy Policy 2013 v.57 pp. 141-151
ISSN:
0301-4215
Subject:
business cycles, gross domestic product, oils, petroleum, prices, wavelet, United States
Abstract:
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.
Agid:
969314