Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains
文献类型：期刊论文
| 作者 | Sun, Xiaolei; Chen, Xiuwen; Wang, Jun; Li, Jianping |
| 刊名 | NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
 |
| 出版日期 | 2020 |
| 卷号 | 51 |
| DOI | 10.1016/j.najef.2018.10.002 |
| 英文摘要 | 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. |
| 语种 | 英语 |
| 源URL | [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. |
| 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. |
| 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(2020). |
入库方式： OAI收割
来源：科技战略咨询研究院
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