Oil prices and the macroeconomy reconsideration for Germany: Using continuous wavelet

Economic Modelling

Volumn 30, Issue 1, 2013, Pages 636-642

  Tiwari, Aviral Kumar ^a  

^a ICFAI University   (India)

Author keywords

Business cycles; Cross wavelets; Oil shocks; Wavelet coherency; Wavelets

Indexed keywords

EID: 84870693295     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2012.11.003     Document Type: Article

References (26)

1. Aguiar-Conraria L., Soares M.J. Oil and the macroeconomy: using wavelets to analyze old issues. Empirical Economics 2011, 40:645-655.
2. Aguiar-Conraria L., Wen Y. Understanding the large negative impact of oil shocks. Journal of Money, Credit, and Banking 2007, 39:925-944.
3. Aguiar-Conraria L., Azevedo N., Soares M.J. Using wavelets to decompose the time-frequency effects of monetary policy. Physica A: Statistical Mechanics and its Applications 2008, 387:2863-2878.
4. Baumeister C., Peersman G. Time-varying effects of oil supply shocks on the US economy. Gent University Working Paper 515 2008.
5. Bloomfield D., McAteer R., Lites B., Judge P., Mathioudakis M., Keena F. Wavelet phase coherence analysis: application to a quiet-sun magnetic element. The Astrophysical Journal 2004, 617:623-632.
6. Breitung J., Candelon B. Testing for short- and long-run causality: a frequency-domain approach. Journal of Economics 2006, 132:363-378.
7. Cazelles B., Chavez M., de Magny G.C., Guégan J.-F., Hales S. Time-dependent spectral analysis of epidemiological time-series with wavelets. Journal of the Royal Society, Interface 2007, 4:625-636.
8. Gabor D. Theory of communication. Journal of the Institute of Electrical Engineers 1946, 93:429-457.
9. Geweke J. Measurement of linear dependence and feedback between multiple time series. Journal of the American Statistical Association 1982, 77:304-324.
10. Gisser M., Goodwin T. Crude oil and the macroeconomy: tests of some popular notions. Journal of Money, Credit, and Banking 1986, 18:95-103.
11. Granger C.W.J., Lin J.-L. Causality in the long run. Economic Theory 1995, 11:530-536.
12. Grinsted A., Moore J.C., Jevrejeva S. Application of the cross wavelet transform and wavelet coherence to geophysical time series. Nonlinear Processes in Geophysics 2004, 11:561-566.
13. Gronwald M. Reconsidering the macroeconomics of the oil price in Germany: testing for causality in the frequency domain. Empirical Economics 2009, 36:441-453.
14. Hamilton J. Oil and the macroeconomy since World War II. Journal of Political Economy 1983, 91:228-248.
15. Hamilton J. Historical causes of postwar oil shocks and recessions. The Energy Journal 1985, 6:97-116.
16. Hooker M. What happened to the oil price-macroeconomy relationship?. Journal of Monetary Economics 1996, 38:195-213.
17. Hosoya Y. The decomposition and measurement of the interdependence between second-order stationary process. Probability Theory and Related Fields 1991, 88:429-444.
18. Hsing Y. Impacts of higher crude oil prices and changing macroeconomic conditions on output growth in Germany. International Research Journal of Finance and Economics 2007, 11:134-140.
19. Hudgins L., Friehe C., Mayer M. Wavelet transforms and atmospheric turbulence. Physical Review Letters 1993, 71(20):3279-3282.
20. Jevrejeva S., Moore J., Grinsted A. Influence of the Arctic oscillation and El Niño-Southern Oscillation (ENSO) on ice conditions in the Baltic Sea: the wavelet approach. Journal of Geophysical Research 2003, 108:4677.
21. Kilian L. Not all oil prices shocks are alike: disentangling demand and supply shocks on the crude oil market. International Economics, Center for Economic Policy Research 2006.
22. Naccache T. Oil price cycles and wavelets. Energy Economics 2011, 33:338-352.
23. Raihan S., Wen Y., Zeng B. Wavelet: a new tool for business cycle analysis. Working Paper 2005-050A, Federal Reserve Bank of St. Louis 2005.
24. Schreiber T., Schmitz A. Improved surrogate data for nonlinearity tests. Physical Review Letters 1996, 77:635-638.
25. Torrence C., Compo G.P. A practical guide to wavelet analysis. Bulletin of the American Meteorological Society 1998, 79:605-618.
26. Torrence C., Webster P. Interdecadal changes in the ESNOM on soon system. Journal of Climate 1999, 12:2679-2690.