Oil prices and the macroeconomy reconsideration for Germany: Using continuous wavelet |
| |
| Institution: | 1. Department of International Trade and Logistics, Cumhuriyet University, Sivas, Turkey;2. Department of Economics, Gaziantep University, Gaziantep, Turkey;3. Department of Tourism Management, Necmettin Erbakan University, Konya, Turkey;4. Department of Econometrics, Pamukkale University, Denizli, Turkey;1. Glorious Sun School of Business and Management, DongHua University, Shanghai 200051, China;2. School of Electronic Information and Electrical Engineering, Shanghai Jiao Tong University, Shanghai 200240, China;3. Antai College of Economics & Management, Shanghai Jiao Tong University, Shanghai 200052, China |
| |
| Abstract: | The cross wavelet analysis is used in the study to decompose the time–frequency effects of oil price changes on the German macroeconomy. We argue that the relationship between oil prices and industrial production is ambiguous. Our results show that there are both phase and anti-phase relationships between oil price returns and inflation and in most of the cases inflation is the leading variable. Additional evidence shows that there is a huge inconsistency between the phase-difference of the return series of oil price and industrial production at the 12–16 month frequency bands but at the 16–24 month frequency bands, we find that oil price changes that have occurred during 1982–2009 were demand-driven. In a nutshell our results suggest that oil price changes that have occurred after 1994 were demand-driven and the volatility of the inflation rate started to decrease after the 1990s but the volatility of the industrial output growth rate started to decrease after the 2000s. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
