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首页> 外文期刊>The North American journal of economics and finance >Time-frequency co-movements between oil prices and interest rates: Evidence from a wavelet-based approach
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Time-frequency co-movements between oil prices and interest rates: Evidence from a wavelet-based approach

机译：油价与利率之间的时频共同率：基于小波的方法的证据

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This paper investigates time-frequency co-movements between crude oil prices and interest rates. To test this relationship, the study applied a continuous wavelet and cross wavelet approaches to data from West Texas Intermediate (WTI) crude oil prices and interest rates in the United States (U.S.). Results from the sample period revealed significant relationships, in the intermediate term, between WTI crude oil prices and U.S. interest rates. Moreover, co-movements between oil price and interest rate variables were especially sensitive during abnormal political events and periods of financial 'meltdown'. We further use Partial Wavelet Coherence (PWC) and Multiple Wavelet Coherence (MWC) methods to investigate the impacts of five major control variables namely GDP growth, unemployment, three-month Treasury bill, CPI index and industrial production index. The results show a powerful impact of control variables on oil-interest rates co-movements under different frequencies. Finally, we show evidence of co-integrating long run relationship between oil markets and control variables. These results have important implications for energy investors and policy makers.
机译：本文调查了原油价格与利率之间的时效共同运动。为了测试这种关系，该研究应用了来自西德克萨斯中级（WTI）原油价格和美国利率的数据的连续小波和交叉小波方法（美国）（美国）。来自样品期的结果显示，在WTI原油价格与美国利率之间的中期术语中显示出显着的关系。此外，在异常的政治事件和金融“崩溃时期，油价和利率变量之间的共同运动特别敏感。我们进一步使用部分小波相干（PWC）和多个小波相干（MWC）方法来研究五大控制变量的影响即GDP增长，失业，三个月的财政部法案，CPI指数和工业生产指数。结果表明控制变量对不同频率下的油利率共同运动的强大影响。最后，我们表明了石油市场与控制变量之间共同融合的长期关系的证据。这些结果对能源投资者和决策者具有重要意义。

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