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Applied Economics Letters Volume 27, 2020 - Issue 17
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Research Article

The source of real oil price fluctuations: a fresh view from the frequency domain

Yanfeng Weia School of Economics, Jiangxi University of Finance and Economics, Nanchang, ChinaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-8920-0399View further author information
ORCID Icon,
Liguo Zhanga School of Economics, Jiangxi University of Finance and Economics, Nanchang, ChinaView further author information
&
Qirui Lib Leibniz Institute of Ecological Urban Regional Development (IOER)View further author information
Pages 1395-1399 | Published online: 25 Oct 2019

References

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  • Equiza-Goñi, J., and F. P. De Gracia. 2019. “Impact of State-dependent Oil Price on US Stock Returns Using Local Projections.” Applied Economics Letters 26 (11): 919–926. doi:10.1080/13504851.2018.1523610.
  • Fry, R., and A. Pagan. 2011. “Sign Restrictions in Structural Vector Autoregressions: A Critical Review.” Journal of Economic Literature 49 (4): 938–960. doi:10.1257/jel.49.4.938.
  • Gehrke, B., and F. Yao. 2017. “Are Supply Shocks Important for Real Exchange Rates? A Fresh View from the Frequency-domain.” Journal of International Money and Finance 79: 99–114. doi:10.1016/j.jimonfin.2017.09.008.
  • Kilian, L. 2009. “Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market.” American Economic Review 99 (3): 1053–1069. doi:10.1257/aer.99.3.1053.
  • Kilian, L., and D. P. Murphy. 2012. “Why Agnostic Sign Restrictions are Not Enough: Understanding the Dynamics of Oil Market VAR Models.” Journal of the European Economic Association 10 (5): 1166–1188. doi:10.1111/jeea.2012.10.issue-5.
  • Kim, G., and D. Vera. 2018. “Recent Drivers of the Real Oil Price: Revisiting and Extending Kilians (2009) Findings.” Energy Economics forthcoming.
  • Lippi, F., and A. Nobili. 2012. “Oil and the Macroeconomy: A Quantitative Structural Analysis.” Journal of the European Economic Association 10 (5): 1059–1083. doi:10.1111/jeea.2012.10.issue-5.
  • Peersman, G., and I. Van Robays. 2012. “Cross-country Differences in the Effects of Oil Shocks.” Energy Economics 34: 1532–1547. doi:10.1016/j.eneco.2011.11.010.
  • Redin, D., I. Rodriguez, J. Cuñado, and F. P. De Gracia. 2018. “Oil Prices and Economic Activity: Evidence for G-7 Economies Based on a Wavelet Approach.” Applied Economics Letters 25 (5): 305–308.
  • Wei, Y. 2019. “Oil Price Shocks, Economic Policy Uncertainty and China’s Trade: A Quantitative Structural Analysis.” North American Journal of Economics and Finance 48: 20–31. doi:10.1016/j.najef.2018.08.016.

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