Identifying the oil price-macroeconomy relationship: An empirical mode decomposition analysis of US data
Identifying the oil price-macroeconomy relationship: An empirical mode decomposition analysis of US data
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DOI：
10.1016/j.enpol.2009.08.002
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发表时间：
2009-12
期刊：
影响因子：
9
通讯作者：
G. Oladosu
中科院分区：
文献类型：
--
作者：
G. Oladosu
本文采用经验模态分解（EMD）方法对美国季度国内生产总值（GDP）和季度平均油价（西德克萨斯中质油）的周期性成分进行了滤波。该方法具有自适应性，适用于非线性和非平稳数据。对所得到的组成部分进行相关性分析，并对石油与经济之间的关系进行深入研究。确定了这种关系的几个组成部分。然而，主要的一个是，石油价格的中期组成部分与国内生产总值的主要周期组成部分呈负相关。此外，弱相关性表明滞后，需求驱动的组成部分和长期的关系也被确定。将这些调查结果与严重的石油供应中断和经济衰退日期进行比较是有利的。研究报告指出了一些适用于最近石油市场事件的教训，包括油价长期上涨后油价持续上涨和经济衰退的可能性。此外，研究发现，与石油市场相关的外生事件与中短期价格影响有关，无论它们是否导致实际供应损失。
This paper employs the empirical mode decomposition (EMD) method to filter cyclical components of US quarterly gross domestic product (GDP) and quarterly average oil price (West Texas Intermediate—WTI). The method is adaptive and applicable to non-linear and non-stationary data. A correlation analysis of the resulting components is performed and examined for insights into the relationship between oil and the economy. Several components of this relationship are identified. However, the principal one is that the medium-run component of the oil price has a negative relationship with the main cyclical component of the GDP. In addition, weak correlations suggesting a lagging, demand-driven component and a long-run component of the relationship were also identified. Comparisons of these findings with significant oil supply disruption and recession dates were supportive. The study identifies a number of lessons applicable to recent oil market events, including the eventuality of persistent oil price and economic decline following a long oil price run-up. In addition, it was found that oil market related exogenous events are associated with short- to medium-run price implications regardless of whether they lead to actual supply losses.