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Oil prices and global factor macroeconomic variables


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)

DOI: doi:10.1016/j.eneco.2016.06.002


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

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