Journal
FINANCE RESEARCH LETTERS
Volume 51, Issue -, Pages -Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2022.103477
Keywords
Monetary policy; Energy inflation; Wavelet power spectrum
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This paper aims to assess the low-frequency dynamics of energy inflation's volatility across a sample of six OECD advanced countries. The traditional argument attributes a transitory effect to energy inflation putting less attention on the longer-term economic consequences. Using the wavelet power spectrum, we provide evidence that most of energy inflation volatility is mainly concentrated at the frequency bands between approximately 1.5 to 5.5 years. Potentially, this result can have nontrivial consequences on how monetary policy should face changes in energy prices.
This paper aims to assess the low-frequency dynamics of energy inflation's volatility across a sample of six OECD advanced countries. The traditional argument attributes a transitory effect to energy inflation putting less attention on the longer-term economic consequences. Using the wavelet power spectrum, we provide evidence that most of energy inflation volatility is mainly concentrated at the frequency bands between approximately 1.5 to 5.5 years. Potentially, this result can have nontrivial consequences on how monetary policy should face changes in energy prices.
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