Chaotic Structure of Oil Prices, Inflation and Unemployment

Bildirici M. E., Sonustun F. O.

NONLINEAR DYNAMICS PSYCHOLOGY AND LIFE SCIENCES, cilt.23, sa.3, ss.377-394, 2019 (SSCI) identifier identifier identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 23 Sayı: 3
  • Basım Tarihi: 2019
  • Dergi Adı: NONLINEAR DYNAMICS PSYCHOLOGY AND LIFE SCIENCES
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.377-394
  • Anahtar Kelimeler: Phillips Curve, Hristu-Varsakelis and Kyrtsou, Bai test, neural network model, chaotic causality, oil prices, PHILLIPS-CURVE, MONETARY-POLICY, LEVEL DETERMINACY, NEXUS, EXPECTATIONS, DYNAMICS, US
  • Yıldız Teknik Üniversitesi Adresli: Evet

Özet

This article investigates the chaotic relationship among inflation rate, unemployment rate and oil prices over the period January, 1974-October, 2018 in the USA. This study complements the previous studies on this subject. However, it differs from the existing literature in examination of inflation-unemployment trade-off by a neural network model in which oil prices are considered as an exogenous variable, and in analyzing the chaotic causality relation among the variables by Hristu-Varsakelis and Kyrtsou and Bai nonlinear causality tests. The results first suggested by a class of neural network model, which was the multi-layer perceptron (MLP), pointed out an important relation among the analyzed variables. Accordingly, oil price changes have substantial effect on unemployment and inflation. Following, the empirical findings of Hristu-Varsakelis and Kyrtsou and Bai nonlinear causality tests show that there is a unidirectional chaotic relation from oil price to inflation, from oil price to unemployment and from inflation to unemployment.