Spillover of energy commodities and inflation in G7 plus Chinese economies

Abstract

We investigate the spillover trends of energy commodities and the Consumer Price Index (CPI) in the G-7 plus China by using the Continuous Wavelet Transform (CWT) methodology. Our analysis spans from January 2016 to October 2022, with a division into pre and post-COVID-19 periods to assess the impact of this significant event. The CWT graphs demonstrate distinct levels of inflation across the countries under scrutiny, highlighting remarkable disparities in CPI and energy commodities in both the pre and post-COVID-19 eras, particularly for Canada, China, and the United States. The Wavelet Transform Coherence (WTC) analysis reveals noteworthy relationships across all three energy commodities. These findings hold substantial policy implications for macroeconomic goals and domestic policies such as monetary and fiscal measures. The variations noted in CPI and energy commodities before and after the COVID-19 era emphasize the need for policy discussions to address the implications for macroeconomic stability. Policymakers can leverage our study to gain a better understanding of the relationship between CPI and energy commodities, considering both internal and external macroeconomic conditions.

Publication DOI: https://doi.org/10.1016/j.eneco.2023.107029
Divisions: College of Business and Social Sciences > Aston Business School
College of Business and Social Sciences > Aston Business School > Centre for Personal Financial Wellbeing
College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship
Additional Information: Copyright © 2023, Elsevier. This accepted manuscript version is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International https://creativecommons.org/licenses/by-nc-nd/4.0/
Uncontrolled Keywords: Energy intensity,Inflation,International financial markets,Oil shock,Wavelet analysis,Energy(all),Economics and Econometrics
Publication ISSN: 1873-6181
Last Modified: 13 Jun 2024 07:39
Date Deposited: 25 Sep 2023 12:17
Full Text Link:
Related URLs: https://www.sci ... 5273?via%3Dihub (Publisher URL)
http://www.scop ... tnerID=8YFLogxK (Scopus URL)
PURE Output Type: Article
Published Date: 2023-11
Published Online Date: 2023-09-21
Accepted Date: 2023-09-09
Authors: Saeed, Asif
Chaudhry, Sajid M. (ORCID Profile 0000-0001-8769-8920)
Arif, Ahmed
Ahmed, Rizwan

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Version: Accepted Version

Access Restriction: Restricted to Repository staff only until 21 March 2025.

License: Creative Commons Attribution Non-commercial No Derivatives


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