Journal
ENERGY POLICY
Volume 57, Issue -, Pages 141-151Publisher
ELSEVIER SCI LTD
DOI: 10.1016/j.enpol.2013.01.017
Keywords
Wavelets; Business cycle; Granger causality
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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. (C) 2013 Elsevier Ltd. All rights reserved.
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