How monetary policy and supply chain shocks impact the consumer energy prices using nonlinear ARDL and wavelet coherence approach

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2025-05-12 DOI:10.1016/j.eneco.2025.108598

Zhi Wang, Xingxing Peng

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引用次数: 0

Abstract

The persistent supply chain bottlenecks and monetary policy substantially influence energy prices; however, these factors affect energy prices asymmetrically. Therefore, this study determines the time varying and asymmetric influence of monetary policy shocks (MPS) and supply chain shocks on energy prices in the US. This study adopts a nonlinear autoregressive distributed lag and wavelet coherence models using the monthly data from 1998 to 2021 in empirical investigation. The long-run findings reveal that a positive shock in supply chain pressure stimulates energy prices, while a negative shock in supply chain pressure reduces energy prices. Besides, the positive monetary policy shock increases energy prices, and negative shock has insignificant effects on energy prices in the long run. The short-run estimates exhibit that positive supply chain pressure and monetary policy shocks do not impact energy prices. However, negative supply chain shocks (monetary policy shocks) increases (decreases) energy prices in the short run. Moreover, the time-varying wavelet coherence approach affirms a strong coherence between MPS, supply chian pressure, and energy prices, while the impacts differ at variant frequency and time domains. Overall, the asymmetric and time-frequency findings provide valuable policies to the US policymakers.

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使用非线性ARDL和小波相干性方法，货币政策和供应链冲击如何影响消费者能源价格

持续的供应链瓶颈和货币政策显著影响能源价格；然而，这些因素对能源价格的影响是非对称的。因此，本研究确定了货币政策冲击（MPS）和供应链冲击对美国能源价格的时变和不对称影响。本文采用非线性自回归分布滞后和小波相干模型，利用1998 - 2021年的月度数据进行实证研究。长期研究结果表明，供应链压力的正面冲击刺激能源价格，而供应链压力的负面冲击降低能源价格。此外，积极的货币政策冲击提高了能源价格，而消极的货币政策冲击对能源价格的长期影响不显著。短期估计表明，积极的供应链压力和货币政策冲击不会影响能源价格。然而，负面的供应链冲击（货币政策冲击）在短期内会增加（降低）能源价格。此外，时变小波相干性方法证实了MPS、供应压力和能源价格之间的强相干性，而影响在不同的频率和时域上有所不同。总的来说，不对称和时间频率的发现为美国决策者提供了有价值的政策。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.