Elsayed, Ahmed H.; Hammoudeh, Shawkat M.; Sousa, Ricardo M. - 2021
We investigate the interconnectedness between CPI inflation in the G7 countries and China and oil price inflation over the period 1987M6-2020M6. To this end, we employ the multivariate DECO-GARCH model and both time-domain and frequency-domain spillover methods to achieve the objectives. We find...