Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach

Economic Modelling

Volumn 29, Issue 4, 2012, Pages 1505-1514

  Benhmad, François ^a  

^a Lameta and University of Montpellier 1   (France)

Author keywords

Granger causality; Real effective U.S. Dollar exchange rate; Real oil price; Wavelets

Indexed keywords

EID: 84861653976     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2012.01.003     Document Type: Article

References (59)

1. Almasri A., Shukur G. An illustration of the causality relationship between government spending and revenue using wavelets analysis on Finnish data. Journal of Applied Statistics 2003, 30(5):571-584.
2. Amano R.A., van Norden S. Oil price and the rise and fall of the U.S. real exchange rate. Journal of International Money and Finance 1998, 17:299-316.
3. Amano R.A., van Norden S. Exchange rates and oil price. Review of International Economics 1998, 6(4):683-694.
4. Baek E., Brock W. A general test for nonlinear Granger causality: bivariate model. Working Paper, Iowa State University and University of Wisconsin Madison 1992.
5. Bell D., Kay J., Malley J. A non-parametric approach to non-linear causality testing. Economics Letters 1996, 51:7-18.
6. Bénassy-Quéré A., Mignon V., Penot A. China and the relationship between the oil price and the dollar. Energy Policy 2007, 35:5795-5805.
7. Benhmad F. A wavelet analysis of oil price volatility dynamics. Economics bulletin 2011, 31(1):792-806.
8. Burbidge J., Harrison A. Testing for the effects of oil price rises using vector autoregressions. International Economic Review 1984, 25:459-484.
9. Chaudhuri K., Daniel B.C. Long run equilibrium real exchange rates and oil price. Economics Letters 1998, 58(2):231-238.
10. Chen S.S., Chen H.C. Oil price and real exchange rates. Energy Economics 2007, 29(3):390-404.
11. Chen Y., Rangarjan G., Feng J., Ding M. Analyzing multiple nonlinear time series with extended Granger causality. Physics Letters A 2004, 324:26-35.
12. Cifter A., Ozun A. Multi-scale causality between energy consumption and GNP in emerging markets: evidence from Turkey. MPRA Paper No. 2483 2007.
13. Coudert V., Mignon V., Penot A. Oil price and the dollar. Energy Studies Review 2008, 18:2.
14. Crowley P. A guide to wavelets for economists. Journal of Economic Surveys 2007, 21(2):207-267.
15. Crowley P. Long cycles in growth:explorations using new frequencydomain techniques with US data. Bank of Finland Research Discussion Papers 2010, 6.
16. Dalkir M. A new approach to causality in the frequency domain. Economics Bulletin 2004, 3(44):1-14.
17. Dhamala Mukeshwar, Rangarajan Govindan, Ding Mingzhou Estimating Granger causality from Fourier and wavelet transforms of time series data. Physical Review Letters 2008, 100:018701.
18. Dibooglu S. Real disturbances, relative prices, and the purchasing power parity. Journal of Macroeconomics 1996, 18(1):69-87.
19. Diks C., Panchenko V. A note on the Hiemstra-Jones test for Granger non-causality. Studies in Nonlinear Dynamics & Econometrics 2005, 2005(9):2.
20. Engle R.F., Hendry D.F., Richard J.F. Exogeneity. Econometrica 1983, 51:277-304.
21. Gallegati, M. (2005) "A Wavelet Analysis of MENA Stock Markets", Mimeo, Universita Politecnica Delle Marche Working Papers, Ancona, Italy.
22. Gençay R., Gradojevic N., Selcuk F., Whitcher B. Asymmetry of information flow between volatilities across time scales. Quantitative Finance, Taylor and Francis Journals 2010, 10(8):895-915.
23. Gillman M., Nakov A. Monetary effects on nominal oil price. The North American Journal of Economics and Finance 2009, 20(3):239-254.
24. Golub S.S. Oil price and exchange rates. The Economic Journal 1983, 93(371):576-593.
25. Granger C.W.J. Investigating causal relation by econometric and cross-sectional method. Econometrica 1969, 37:424-438.
26. Granger Clive W.J. Testing for causality: a personal viewpoint. Journal of Economic Dynamics and Control 1980, 2:329-352.
27. Granger Clive W.J., Lin Jin-Lung Causality in the long run. Econometric Theory 1995, 11:530-536.
28. Grossman A., Morlet J. Decomposition of Hardy functions into square integrable wavelets of constant shape. SIAM Journal on Mathematical Analysis 1984, 15:723.
29. Hamilton J.D. Oil and the macroeconomy since World War II. Journal of Political Economy 1983, 91:228-248.
30. Hiemstra C., Jones J. Testing for linear and nonlinear Granger causality in the stock price-volume relation. Journal of Finance 1994, 5:1639-1664.
31. Hiemstra C., Kramer C. Nonlinearity and endogeneity in macro-asset pricing. Studies in Nonlinear Dynamics and Econometrics 1997, 2(3):61-76.
32. In F., Kim S. The hedge ratio and the empirical relationship between the stock and futures markets: a new approach using wavelets. The Journal of Business 2006, 79:799-820.
33. Kim S., In H.F. The relationship between financial variables and real economic activity: evidence from spectral and wavelet analyses. Studies in Nonlinear Dynamics and Econometrics 2003, 7:4. Article 4.
34. Krugman P. Oil and the dollar. Economic Interdependence and Flexible Exchange Rates 1983, MIT Press, Cambridge, MA. J.S. Bhandari, B.H. Putman (Eds.).
35. Krugman P. Oil shocks and exchange rate dynamics. Exchange Rates and International Macroeconomics 1983, University of Chicago Press, Chicago. J.A. Frenkel (Ed.).
36. Lee T.H., White H., Granger C.W.J. Testing for neglecting nonlinearity in time series models. Journal of Econometrics 1993, 56:269-290.
37. Li J. Testing Granger causality in the presence of threshold effects. International Journal of Forecasting 2006, 22:771-780.
38. Lizardo R.A., Mollick A.V. Oil price fluctuations and U.S. dollar exchange rates. Energy Economics 2010, 32:399-408.
39. Mallat S. A theory for multiresolution signal decomposition, the wavelet representation. IEEE Transactions on Pattern Analysis and Machine Intelligence 1989, 11:674-693.
40. McGuirk A.K. Oil price changes and real exchange rate movements among industrial countries. IMF Staff Papers 1983, 30:843-883.
41. Mitra S. A wavelet filtering based analysis of macroeconomic indicators: the Indian evidence. Applied Mathematics and Computation 2006, 175:1055-1079.
42. Mork K.A. Oil and the macroeconomy when prices go up and down: an extension of Hamilton's results. Journal of Political Economy 1989, 91:740-744.
43. Péguin-Feissolle A., Teräsvirta T. A general framework for testing the Granger non-causality hypothesis. Stockholm School of Economics Working Paper Series in Economics and Finance No: 343 1999.
44. Péguin-Feissolle A., Strikholm B., Teräsvirta T. Testing the Granger non causality hypothesis in stationary non linear models of unknown functional form. CREATES Research Paper 2008-19 2008, School of Economics and Management, University of Aarhus.
45. Percival D.B., Walden A.T. Wavelet Methods for Time Series Analysis 2000, Cambridge University Press, 2000.
46. Priestley M.B. Evolutionary spectra and non-stationary processes. Journal of the Royal Statistical Society B 1965, 27(204):237.
47. Ramsey J.B., Lampart C. Decomposition of economic relationships by timescale using wavelets. Macroeconomic Dynamics 1998, 2(1):49-71.
48. Roach Stephen US Dollar - Oil Correlation Unveiled http://www.dailyfx.com/story/other/free_third_party_research/US_Dollar_Oil_Correlation_1219674072277.html.
49. Rogoff K. Oil productivity, government spending and the real yen-dollar exchange rate. Federal Reserve Bank of San Francisco Working Papers 91-06 1991.
50. Sadorsky P. The empirical relationship between energy futures prices and exchange rates. Energy Economics 2000, 22(2):253-266.
51. Schleicher C. An introduction to wavelets for economists. Working Papers 02-3 2002, Bank of Canada.
52. Skalin J., Teräsvirta T. Another look at Swedish business cycles, 1861-1988. Journal of Applied Econometrics 1999, 14:359-378.
53. Throop A. A generalized uncovered interest parity model of exchange rates. Federal Reserve Bank of San Francisco Economic Review 1993, 2:3-16.
54. Rep. Interagency Task Force on CommodityMarkets US Commodity Fututes Trading Commision. http://www.cftc.gov/ucm/groups/public/@newsroom/documents/file/itfinterimreportoncrudeoil0708.
55. Verleger Philip K. The oil-dollar link. International Economy 2008, 22.2:46-50.
56. Zhang C., Farley A. A multiscaling test of causality effects among international stock markets. Neural, Parellel and Scientific Computations 2004, 12(1):91-112.
57. Zhang Y.J., Wei Y.M. The crude oilmarket and the goldmarket: evidence for cointegration, causality and price discovery. Resources Policy 2010, 35(3):168-177.
58. Zhang Y.J., Fan Y., Tsai H.T., Wei Y.M. Spillover effect of U.S. dollar exchange rate on oil price. Journal of Policy modeling 2008, 30:973-991.
59. Zhou S. The response of real exchange rates to various economic shocks. Southern Economic Journal 1995, 61:936-954.