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Revisiting the oil price and expected inflation in the U.S. - a wavelet approach

Author

Listed:
  • Mihai Mutascu

    (ZU Friedrichshafen; FEBA, West University of Timisoara; and LEO, University of Orléans)

  • Alexandre Sokic

    (ESCE International Business School, OMNES Education)

Abstract

The paper revisits the 'oil price - expected inflation' nexus in the U.S. by using as a novelty the wavelet. The study covers 08/08/2005-14/04/2022. The main findings show that in the 'smooth' economic periods, the oil price is an important 'signal' for expected inflation on long-run. Otherwise, expected inflation influences the oil price on medium-run, during financial crises and major monetary adjustments. Pandemic or war crises have no notable implications on the 'oil price - expected inflation' nexus, other factors being more prominent. The main findings show that in the 'smooth' economic periods, the oil price is an important 'signal' for expected inflation on long-run. Otherwise, expected inflation influences the oil price on medium-run, during financial crises and major monetary adjustments. Pandemic or war crises have no notable implications on the 'oil price - expected inflation' nexus, other factors being more prominent.

Suggested Citation

  • Mihai Mutascu & Alexandre Sokic, 2022. "Revisiting the oil price and expected inflation in the U.S. - a wavelet approach," Economics Bulletin, AccessEcon, vol. 42(2), pages 959-964.
    • Handle: RePEc:ebl:ecbull:eb-22-00371
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2022/Volume42/EB-22-V42-I2-P81.pdf
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    References listed on IDEAS

    as
    1. Benjamin Wong, 2015. "Do Inflation Expectations Propagate the Inflationary Impact of Real Oil Price Shocks?: Evidence from the Michigan Survey," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(8), pages 1673-1689, December.
    2. Rua, António, 2010. "Measuring comovement in the time-frequency space," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 685-691, June.
    3. Michael Bruno & Jeffrey D. Sachs, 1985. "Economics of Worldwide Stagflation," NBER Books, National Bureau of Economic Research, Inc, number brun85-1.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Oil price; expected inflation; shocks; wavelet; U.S.;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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