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Measurement of international crude oil price cyclical fluctuations and correlation with the world economic cyclical changes

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  • Nan, Yu
  • Sun, Renjin
  • Zhen, Zhao
  • Fangjing, Chu

Abstract

The frequent fluctuations in oil price have caused great concern. Scholars have conducted a lot of researches on reasons for oil price fluctuations, but few examined the impact of the world economic cyclical changes on oil price cyclical fluctuations. This study applies wavelet analysis, Hodrik-Prescott Filter, Band-Pass Filter methods to measure oil price cyclical fluctuations, and applies vector autoregressive model to test correlation between economic cyclical changes and oil price cyclical fluctuations from two stages. The results show that the main cycle of oil price fluctuations is 6–7 years and there are two mutation points with an interval of 32 years, which reflects long-wave component of oil price fluctuations. In the first stage, there is a one-way Granger causality between oil price cyclical fluctuations and the world economic cyclical changes. In the second stage, there is a one-way Granger causality between the world economic cyclical changes and oil price cyclical fluctuations. When the world economic growth rate increases by 1%, oil price increases by 5.70%. The world economic cyclical changes contribute more to oil price cyclical fluctuations than OPEC's daily production. This study believes the world economic cyclical changes have a one-way causality to oil price cyclical fluctuations.

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  • Nan, Yu & Sun, Renjin & Zhen, Zhao & Fangjing, Chu, 2022. "Measurement of international crude oil price cyclical fluctuations and correlation with the world economic cyclical changes," Energy, Elsevier, vol. 260(C).
    • Handle: RePEc:eee:energy:v:260:y:2022:i:c:s036054422201845x
    DOI: 10.1016/j.energy.2022.124946
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