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Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains
Sun, Xiaolei; Chen, Xiuwen; Wang, Jun; Li, Jianping
发表期刊NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
摘要

Dynamic interactions between policy uncertainty and economic activity, including oil prices, have attracted increasing amounts of scholarly interest, but few studies have considered the inherent feature that the entire market is composed of different stakeholders operating in different time horizons. To fill this gap and address this issue, this paper proposes a multi-scale correlation framework. Specifically, we use the wavelet coherence method and scale-by-scale linear Granger causality tests to explore the co-movement and causality of pairs of economic policy uncertainty indices of G7 countries, China, Brazil, and Russia and West Texas Intermediate (WTI) oil prices. Our results show that the interaction between economic policy uncertainty and oil prices in the short-term is weak but gradually strengthens towards the long-term, especially when significant historical political or financial events occurred. Moreover, a consistent conclusion is that the interaction is negative in the medium-term, while it is positive in the long-term. Further, Granger causality tests at different time-scales show that no Granger causality from economic policy uncertainty to oil prices exists in the short-term for all sample countries, except the US, while there is a strong unidirectional or bidirectional Granger causality for all researched countries in the medium- and the long-term.

2020
卷号51期号:1页码:100854
DOI10.1016/j.najef.2018.10.002
收录类别SSCI
语种英语
引用统计
文献类型期刊论文
条目标识符http://ir.casisd.cn/handle/190111/9818
专题中国科学院科技战略咨询研究院
推荐引用方式
GB/T 7714
Sun, Xiaolei,Chen, Xiuwen,Wang, Jun,et al. Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,2020,51(1):100854.
APA Sun, Xiaolei,Chen, Xiuwen,Wang, Jun,&Li, Jianping.(2020).Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains.NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,51(1),100854.
MLA Sun, Xiaolei,et al."Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains".NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 51.1(2020):100854.
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