Gogolin, F, Kearney, F, Lucey, BM et al. (2 more authors) (2018) Uncovering long term relationships between oil prices and the economy: A time-varying cointegration analysis. Energy Economics, 76. pp. 584-593. ISSN 0140-9883
Abstract
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 and Martins (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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2018 Elsevier B.V. All rights reserved. This is an author produced version of a paper published in Energy Economics. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Macroeconomy; Oil prices; WTI Oil; Brent Oil; Long-run |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 06 Nov 2018 12:59 |
Last Modified: | 28 Apr 2020 00:38 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.eneco.2018.10.002 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:138189 |