The relationship between oil prices and US economy revisited

References

• Blanchard, O. J., and J. Gali. 2007. The Macroeconomic Effects of Oil Shocks: Why Are the 2000s so Different from the 1970s? National Bureau of Economic Research. NBER Working Paper No. 13368.
   Google Scholar
• Bouri, E., R. Gupta, A. K. Tiwari, and D. Roubaud. 2017. Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions. Finance Res. Lett. 23:87–95.
   Web of Science ®Google Scholar
• Cornish, C. R., C. S. Bretherton, and D. B. Percival. 2006. Maximal overlap wavelet statistical analysis with application to atmospheric turbulence. Boundary-Layer. Meteorol. 119 (2):339–74. doi:10.1007/s10546-005-9011-y.
   Web of Science ®Google Scholar
• Dickey, D. A., and W. A. Fuller. 1979. Distribution of the estimators for autoregressive time series with a unit root. J. Am. Stat. Assoc. 74 (366a):427–31.
   Google Scholar
• Gencay, R., F. Selcuk, and B. Whitcher. 2002. An Introduction to Wavelets and Other Filtering Methods in Finance and Economics. San Diego, CA: Academic Press.
   Google Scholar
• Hamilton, J. D. 1983. Oil and the macroeconomy since World War II. J. Political. Economy. 91 (2):228–48. doi:10.1086/261140.
   Web of Science ®Google Scholar
• Hamilton, J. D. 1988. A neoclassical model of unemployment and the business cycle. J. Political. Economy. 96 (3):593–617. doi:10.1086/261553.
   Web of Science ®Google Scholar
• Hamilton, J. D. (2005). Oil and the Macroeconomy. The New Palgrave Dictionary of Economics, Second Edition. Eds. Steven N. Durlauf and Lawrence E. Blume. Palgrave Macmillan UK, 2008.
   Google Scholar
• Herrera, A. M., L. G. Lagalo, and T. Wada. 2011. Oil price shocks and industrial production: Is the relationship linear? Macroeconomic. Dyn. 15 (S3):472–97. doi:10.1017/S1365100511000290.
   Google Scholar
• Hooker, M. A. 1997. Exploring the Robustness of the Oil Price: Macroeconomy Relationship. Division of Research and Statistics, Division of Monetary Affairs, Federal Reserve Board.
   Google Scholar
• Karlsson, H. K., P. Karlsson, K. Månsson, and P. Sjölander. 2017. Wavelet quantile analysis of asymmetric pricing on the Swedish power market. Empirica 44 (2):249–60. doi:10.1007/s10663-016-9318-6.
   Web of Science ®Google Scholar
• Kilian, L. 2009. Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. Am. Economic. Rev. 99 (3):1053–69. doi:10.1257/aer.99.3.1053.
   Web of Science ®Google Scholar
• Koenker, R., and G. Bassett. 1978. Regression quantiles. Econometrica 46 (1):33–50. doi:10.2307/1913643.
   Web of Science ®Google Scholar
• Koenker, R., and J. G. Bassett. 1982. Robust tests for heteroscedasticity based on regression quantiles. Econometrica 50:43–61. doi:10.2307/1912528.
   Web of Science ®Google Scholar
• Lehkonen, H., and K. Heimonen. 2014. Timescale-dependent stock market comovement: BRICs vs. developed markets. J. Empirical Finance. 28:90–103. doi:10.1016/j.jempfin.2014.06.002.
   Web of Science ®Google Scholar
• Li, M.-Y. 2013. Reexamining the relationship between oil prices and the US economy using a quantile regression approach. Energy Sources, Part B 8 (3):304–11. doi:10.1080/15567240903452089.
   Google Scholar
• Mensi, W., S. Hammoudeh, and A. K. Tiwari. 2016. New evidence on hedges and safe havens for Gulf stock markets using the wavelet-based quantile. Emerging Markets. Rev. 28:155–83. doi:10.1016/j.ememar.2016.08.003.
   Web of Science ®Google Scholar
• Mork, K. A. 1989. Oil and the macroeconomy when prices go up and down: an extension of Hamilton’s results. J. Political Economy 97 (3):740–44. doi:10.1086/261625.
   Web of Science ®Google Scholar
• Nkomo, J. C. 2006. The impact of higher oil prices on Southern African countries. J. Energy South Afr. 17 (1):10–17.
   Google Scholar
• Phillips, P. C. B., and P. Perron. 1988. Testing for a unit root in time series regression. Biometrika 75 (2):335–46. doi:10.2307/2953675.
   Web of Science ®Google Scholar
• Raymond, J. E., and R. W. Rich. 1997. Oil and the macroeconomy: A Markov state-switching approach. J. Money, Credit, and Banking 29 (2):193–213. doi:10.2307/2953675.
   Web of Science ®Google Scholar
• Redin, D., I. Rodriguez, J. Cuñado, and F. Perez De Gracia. 2017. Oil prices and economic activity: Evidence for G-7 economies based on a wavelet approach. Applied. Econ. Lett. 1–4. doi:10.1080/13504851.2017.1319552.
   Google Scholar
• Tang, W., L. Wu, and Z. Zhang. 2010. Oil price shocks and their short-and long-term effects on the Chinese economy. Energy. Econ. 32:3–14. doi:10.1016/j.eneco.2010.01.002.
   Web of Science ®Google Scholar