Dynamic cyclical comovements between oil prices and US GDP: A wavelet perspective |
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| Affiliation: | 1. School of Economics and Management, Beijing Jiaotong University, Beijing 100044, PR China;2. Department of Mathematics, School of Science, Beijing Jiaotong University, Beijing 100044, PR China |
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| 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. |
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