Journal article
A Multiple and Partial Wavelet Analysis of the Oil Price, Inflation, Exchange Rate, and Economic Growth Nexus in Saudi Arabia
Emerging markets finance & trade, v 54(4), pp 935-956
01 Jan 2018
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This article provides a fresh insight into the dynamic nexus between oil prices, the Saudi/US dollar exchange rate, inflation, and output growth rate in Saudi Arabia' economy, using novel Morlet' wavelet methods. Specifically, it implements various tools of methodology: the continuous wavelet power spectrum, the cross-wavelet power spectrum, the wavelet coherency, the multiple and the partial wavelet coherence to the annual sample period 1969-2014. Our results unveil that the relationships among the variables evolve through time and frequency. From the time-domain view, we show strong but non-homogenous linkages between the four variables. From the frequency-domain view, we uncover significant wavelet coherences and strong lead-lag relationships. From an economic view, the wavelet analysis shows that Saudi economy is still exposed to several global risk factors, which are mainly related to the oil market volatility, and the pegging of the local currency to the US dollar. Such risk factors strongly and negatively affect the real economic growth, exert more pressure on inflation, and substantially limit the freedom to pursue an independent monetary policy.
Metrics
Details
- Title
- A Multiple and Partial Wavelet Analysis of the Oil Price, Inflation, Exchange Rate, and Economic Growth Nexus in Saudi Arabia
- Creators
- Chaker Aloui - King Saud UniversityBesma Hkiri - University of Business and TechnologyShawkat Hammoudeh - Montpellier Business SchoolMuhammad Shahbaz - Montpellier Business School
- Publication Details
- Emerging markets finance & trade, v 54(4), pp 935-956
- Publisher
- Taylor & Francis
- Number of pages
- 22
- Grant note
- RGP-211 / Deanship of Scientific Research, King Saud University; King Saud University
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000425691700015
- Scopus ID
- 2-s2.0-85042226365
- Other Identifier
- 991019167819304721
UN Sustainable Development Goals (SDGs)
This publication has contributed to the advancement of the following goals:
InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business
- Economics
- International Relations