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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]


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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
Author:Vespignani, JL (Dr Joaquin Vespignani)
ID Code:109743
Year Published:2016
Web of Science® Times Cited:1
Deposited By:Tasmanian School of Business and Economics
Deposited On:2016-06-29
Last Modified:2017-04-27
Downloads:7 View Download Statistics

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