Abstract In this paper, we analyse the dynamic cyclical co-movements between oil prices and macroeconomic leading variables in Saudi Arabia within a time-frequency approach. Specifically, we check the relevance of the cyclicality of non-oil GDP, public expenditure, and trade balance with oil price cycles. To overcome the deficiency of traditional econometric methods and standard wavelet correlation methods, our study uses partial and multiple wavelet coherence for an annual data set covering the period 1970–2016. Our findings unveil a high level of coherence between the four variables and these linkages are changing through time scales and frequency bands. Specifically, we uncover pro-cyclical fiscal policy through a negative correlation between non-oil balance and oil prices and via a positive correlation between government spending and changes in oil prices. Our results offer several conspicuous implications and operational recommendations for Saudi policymakers and regulators, especially when elaborating the Government budget.

中文翻译：

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沙特阿拉伯的油价动态和财政政策周期性：来自部分和多重小波相干性的新证据

摘要 在本文中，我们以时频方法分析了沙特阿拉伯油价与宏观经济主导变量之间的动态周期性联动。具体而言，我们检查了非石油 GDP、公共支出和贸易平衡的周期性与石油价格周期的相关性。为了克服传统计量经济学方法和标准小波相关方法的不足，我们的研究对涵盖 1970-2016 年期间的年度数据集使用部分和多重小波相干性。我们的发现揭示了四个变量之间的高度一致性，并且这些联系正在随着时间尺度和频带而变化。具体来说，我们通过非石油平衡与石油价格之间的负相关以及政府支出与石油价格变化之间的正相关来揭示顺周期财政政策。我们的结果为沙特政策制定者和监管机构提供了几个显着的影响和操作建议，尤其是在制定政府预算时。