Spillover of energy commodities and inflation in G7 plus Chinese economies

Saeed, Asif; Chaudhry, Sajid M.; Arif, Ahmed; Ahmed, Rizwan

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.

• Journal Article Type: Article
• Acceptance Date: Sep 9, 2023
• Online Publication Date: Sep 21, 2023
• Publication Date: Nov 30, 2023
• Deposit Date: Oct 3, 2023
• Publicly Available Date: Sep 22, 2025
• Journal: Energy Economics
• Print ISSN: 0140-9883
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 127
• Issue: Part A
• Article Number: 107029
• DOI: https://doi.org/10.1016/j.eneco.2023.107029
• Keywords: Inflation, Oil Shock, Energy Intensity, International Financial Markets, Wavelet Analysis
• Public URL: https://uwe-repository.worktribe.com/output/11144473