Arbeitspapier

Uncovering Long Term Relationships between Oil Prices and the Economy: A Time-Varying Cointegration Analysis

Establishing the relation between oil price movements and macroeconomic performance is of great importance for firms and policymakers, alike. Prior studies established this relation using the assumption that the long-run relation is intertemporally constant. However, there is much recent evidence demonstrating that this assumption may not hold in practice. To address this issue and go beyond the restrictive time-invariant environment, we employ the use of the time-varying cointegration framework of Bierens 2010. We present evidence of the long-run oil-economy relation evolving over the 1974-2015 period, with major events such as the Gulf War and the financialisation of commodity markets proving to be driving forces across the U.S., European and G7 economies considered.

Sprache
Englisch

Erschienen in
Series: QMS Research Paper ; No. 2018/04

Klassifikation
Wirtschaft
Energy and the Macroeconomy
Thema
Marcoeconomy
oil prices
WTI Oil
Brent Oil
long-run

Ereignis
Geistige Schöpfung
(wer)
Gogolin, Fabian
Kearney, Fearghal
Lucey, Brian M.
Peat, Maurice
Vigne, Samuel
Ereignis
Veröffentlichung
(wer)
Queen's University Belfast, Queen's Management School
(wo)
Belfast
(wann)
2018

DOI
doi:10.2139/ssrn.3242941
Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Gogolin, Fabian
  • Kearney, Fearghal
  • Lucey, Brian M.
  • Peat, Maurice
  • Vigne, Samuel
  • Queen's University Belfast, Queen's Management School

Entstanden

  • 2018

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