Periodic Fluctuation Relationship Among International Energy Price,China's Inflation and Economic Growth:Based on Wavelet Transform Frequency Band Analysis and Multivariate BEKK-GARCH(1,1)Model Analysis
In recent years,international energy prices have changed frequently,which has caused great inconvenience and impact on the economic development of various countries.In this paper,the wavelet transform frequency band analysis method combined with multivariate GARCH-BEKK(1,1)model is used to investigate the spillover relationship among international energy price,inflation and economic growth in different periods.The empirical results show that there is a volatility spillover effect among the three,but the volatility effect is different in different cycles.In the short term,there is a two-way transfer effect among the three,which develops into one-way spillover and two-way spillover as the cycle becomes longer.In the long term,the volatility spillover effect from international energy prices to inflation is more significant.As China's economy enters a new era,energy issues will certainly become the challenge that China's future economic development needs to pay attention to.Therefore,relevant government agencies need to speed up the improvement of domestic energy marketization,improve energy efficiency,and strive to mitigate the negative impact of international energy price fluctuations on China's economy.
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