Reconsidering the macroeconomics of the oil price in Germany: testing for causality in the frequency domain
Reconsidering the macroeconomics of the oil price in Germany: testing for causality in the frequency domain
复制标题
重新考虑德国油价的宏观经济学：频域因果关系检验
DOI：
10.1007/s00181-008-0204-3
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发表时间：
2009
期刊：
影响因子：
--
通讯作者：
M. Gronwald
中科院分区：
文献类型：
--
作者：
M. Gronwald
本文对德国石油价格的宏观经济学进行了重新思考。它调查了油价与一系列宏观经济和金融市场变量之间的因果关系是否在不同的频段之间有所不同。两个变量的频率方向因果关系度量及其高维扩展都被应用。主要发现油价与短期利率和德国股价指数等变量之间存在短期因果关系，而油价与长期利率之间存在长期因果关系。此外，油价以大量不同的频率预测消费者价格指数，而从油价到工业生产和失业率之间没有发现显著的因果关系。
This paper reconsiders the macroeconomics of the oil price for Germany. It investigates whether causality between the oil price and a selection of both macroeconomic and financial market variables differs between frequency bands. Both a bivariate frequency-wise causality measure and its higher-dimensional extension are applied. The main findings are that short-run causality exists between the oil price and variables such as short-term interest rates and the German share price index, while long-run causality is found between the oil price and long-term interest rates. Moreover, the oil price predicts the consumer price index at a high number of different frequencies, while no significant causality is found to run from the oil price to industrial production and the unemployment rate.