Oil price cycles and wavelets |
| |
Authors: | Thé o Naccache |
| |
Affiliation: | EconomiX - CNRS, University of Paris Ouest, 200 avenue de la République, 92001 Nanterre Cedex, France |
| |
Abstract: | The present paper addresses the question of the oil price-macroeconomy relationship using world data and a time scale decomposition based on the theory of wavelets. Our approach is based on a global indicator, the Morgan Stanley Capital International (MSCI) Index for the World, and on the new framework offered by wavelets to analyse the oil price cycles and to investigate the oil price-MSCI relationship. This original approach enables us to identify that the cycles which contribute the most to oil price variations are 20 to 40 years cycles, which correspond to the size of Kuznets infrastructure cycles and probably represent energy investment cycles. This wavelet decomposition also provides additional evidence to the “reverse causality” theory. |
| |
Keywords: | Q43 C22 |
本文献已被 ScienceDirect 等数据库收录! |
|