Reconsidering the macroeconomics of the oil price in Germany: testing for causality in the frequency domain

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This paper reconsiders the macroeconomics of the oil price for Germany. It investigates whether causality between the oil price and a selection of both macroeconomic and financial market variables differs between frequency bands. Both a bivariate frequency-wise causality measure and its higher-dimensional extension are applied. The main findings are that short-run causality exists between the oil price and variables such as short-term interest rates and the German share price index, while long-run causality is found between the oil price and long-term interest rates. Moreover, the oil price predicts the consumer price index at a high number of different frequencies, while no significant causality is found to run from the oil price to industrial production and the unemployment rate.
Original languageEnglish
Pages (from-to)441-453
Number of pages13
JournalEmpirical Economics
Issue number2
Early online date10 Apr 2008
Publication statusPublished - May 2009



  • oil price
  • causality
  • frequency domain
  • spectral analysis
  • vector autoregressions

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