eCite Digital Repository
Oil prices and global factor macroeconomic variables
Citation
Ratti, RA and Vespignani, JL, Oil prices and global factor macroeconomic variables, Energy Economics, 59 pp. 198-212. ISSN 0140-9883 (2016) [Refereed Article]
 | PDF 2Mb |
Copyright Statement
Copyright 2016 The Authors. Licensed under Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) https://creativecommons.org/licenses/by-nc-nd/4.0/
DOI: doi:10.1016/j.eneco.2016.06.002
Abstract
This paper investigates the relationship between oil prices, global industrial production,
prices, central bank policy interest rate and monetary aggregate with a global factoraugmented
error correction model. We confirm the following stylized relationships: i) at
global level, money, industrial production and prices are cointegrated; ii) positive innovation
in global oil price is connected with global interest rate tightening; iii) positive innovation in
global money, price level and industrial production is connected with an increase in oil prices;
iv) positive innovations in global interest rate are associated with a decline in oil prices; v)
the U.S., Euro area and China are the main drivers of global macroeconomic factors.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Keywords: | Global interest rate, global monetary aggregates, oil prices, GFAVEC |
| Research Division: | Economics |
| Research Group: | Applied economics |
| Research Field: | Macroeconomics (incl. monetary and fiscal theory) |
| Objective Division: | Economic Framework |
| Objective Group: | Macroeconomics |
| Objective Field: | Monetary policy |
| UTAS Author: | Vespignani, JL (Associate Professor Joaquin Vespignani) |
| ID Code: | 109743 |
| Year Published: | 2016 |
| Web of Science® Times Cited: | 80 |
| Deposited By: | TSBE |
| Deposited On: | 2016-06-29 |
| Last Modified: | 2018-03-07 |
| Downloads: | 163 View Download Statistics |
Repository Staff Only: item control page