Version 1
: Received: 30 April 2024 / Approved: 30 April 2024 / Online: 30 April 2024 (11:42:18 CEST)
How to cite:
Khoj, H. Z.; Saeed, M. A. Investigating the Casual Impact of Oil Price Dynamics on Inflation Using Wavelet Analysis on G20 Countries. Preprints2024, 2024041979. https://doi.org/10.20944/preprints202404.1979.v1
Khoj, H. Z.; Saeed, M. A. Investigating the Casual Impact of Oil Price Dynamics on Inflation Using Wavelet Analysis on G20 Countries. Preprints 2024, 2024041979. https://doi.org/10.20944/preprints202404.1979.v1
Khoj, H. Z.; Saeed, M. A. Investigating the Casual Impact of Oil Price Dynamics on Inflation Using Wavelet Analysis on G20 Countries. Preprints2024, 2024041979. https://doi.org/10.20944/preprints202404.1979.v1
APA Style
Khoj, H. Z., & Saeed, M. A. (2024). Investigating the Casual Impact of Oil Price Dynamics on Inflation Using Wavelet Analysis on G20 Countries. Preprints. https://doi.org/10.20944/preprints202404.1979.v1
Chicago/Turabian Style
Khoj, H. Z. and Mohammed Ahmed Saeed. 2024 "Investigating the Casual Impact of Oil Price Dynamics on Inflation Using Wavelet Analysis on G20 Countries" Preprints. https://doi.org/10.20944/preprints202404.1979.v1
Abstract
This study examines the nexus between oil prices and inflation in G20 economies, addressing critical gaps by adopting a comparative approach across three pivotal oil price downturns in 2008, 2014, and 2020 (COVID-19). The study utilized monthly time series data from January 2000 to December 2023 and the Bayesian Structural Time Series (BSTS) approach for causal impact analysis. The study found that during the global financial crisis (December 2007 to June 2014), advanced economies like Australia and the UK displayed varying degrees of negative absolute causal impact, aligning with the deflationary impact of falling oil prices. In contrast, emerging economies faced significant negative causal impacts. From June 2014 to January 2020, diverse inflation impacts were observed across G20 economies after a significant oil price decline. Advanced economies like Australia and emerging economies like Brazil experienced negative impacts, while others showed negligible effects. In the subsequent period from January 2020 to December 2023, amid the COVID-19 pandemic and substantial oil price decline, G20 countries exhibited varied inflation outcomes. Positive absolute effects indicated a notable rise in inflation with China standing out with a substantial negative impact. The wavelet coherence analyses also showed an asymmetrical impact of oil prices on inflation. The findings suggest that policymakers should adopt proactive and adaptive policy frameworks, considering the asymmetric responses of G20 economies to oil price dynamics.
Business, Economics and Management, Econometrics and Statistics
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
