lnu.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
The Causal Nexus between Oil Prices, Interest Rates, and Unemployment in Norway Using Wavelet Methods
Linnaeus University, School of Business and Economics, Department of Economics and Statistics.
University of Bergen, Norway.
Linnaeus University, School of Business and Economics, Department of Economics and Statistics.ORCID iD: 0000-0002-3416-5896
2018 (English)In: Sustainability, ISSN 2071-1050, E-ISSN 2071-1050, Vol. 10, no 8, p. 1-15, article id 2792Article in journal (Refereed) Published
Abstract [en]

This paper applies wavelet multi-resolution analysis (MRA), combined with two types of causality tests, to investigate causal relationships between three variables: real oil price, real interest rate, and unemployment in Norway. Impulse response functions were also utilised to examine effects of innovation in one variable on the other variables. We found that causal relations between the variables tend to be stronger as the wavelet time scale increases; specifically, there were no causal relationships between the variables at the lowest time scales of one to three months. A causal relationship between unemployment rate and interest rate was observed during the period of two quarters to two years, during which time a feedback mechanism was also detected between unemployment and interest rate. Causal relationships between oil price and both interest rate and unemployment were observed at the longest time scale of eight quarters. In conjunction with Granger causality analysis, impulse response functions showed that unemployment rates in Norway respond negatively to oil price shocks around two years after the shocks occur. As an oil exporting country, increases (or decreases) in oil prices reduce (or increase) unemployment in Norway under a time horizon of about two years; previous studies focused on oil importing economies have generally found the inverse to be true. Unlike most studies in this field, we decomposed the implicit aggregation for all time scales by applying MRA with a focus on the Norwegian economy. Thus, one main contribution of this paper is that we unveil and systematically distinguish the nature of the time-scale dependent relationship between real oil price, real interest rate, and unemployment using wavelet decomposition.

Place, publisher, year, edition, pages
MDPI, 2018. Vol. 10, no 8, p. 1-15, article id 2792
Keywords [en]
Oil prices, Interest rates, Unemployment, Causal relationships, Wavelet analysis
National Category
Economics
Research subject
Economy, Economics
Identifiers
URN: urn:nbn:se:lnu:diva-78053DOI: 10.3390/su10082792ISI: 000446767700208Scopus ID: 2-s2.0-85054931406OAI: oai:DiVA.org:lnu-78053DiVA, id: diva2:1251503
Available from: 2018-09-27 Created: 2018-09-27 Last updated: 2019-08-29Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textScopus

Authority records BETA

Karlsson, Hyunjoo KimShukur, Ghazi

Search in DiVA

By author/editor
Karlsson, Hyunjoo KimShukur, Ghazi
By organisation
Department of Economics and Statistics
In the same journal
Sustainability
Economics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 56 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf