Knowledge Management System of Institutes of Science and Development ,CAS
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 |
DOI | 10.1016/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. |
条目包含的文件 | ||||||
文件名称/大小 | 文献类型 | 版本类型 | 开放类型 | 使用许可 | ||
2020 North-Multiscal(4928KB) | 期刊论文 | 作者接受稿 | 开放获取 | CC BY-NC-SA | 浏览 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论