109743_Oil prices and global factor macroeconomic variables.pdf (1.8 MB)
Oil prices and global factor macroeconomic variables
journal contribution
posted on 2023-05-18, 20:24 authored by Ratti, RA, Joaquin VespignaniJoaquin VespignaniThis 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.
History
Publication title
Energy EconomicsVolume
59Pagination
198-212ISSN
0140-9883Department/School
TSBEPublisher
Elsevier BVPlace of publication
NetherlandsRights 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/Repository Status
- Open