Abstract
This paper investigates the relationship between oil prices, global industrial production, prices, central bank policy interest rate and monetary aggregate with a global factor-augmented 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; and v) the U.S., Euro area and China are the main drivers of global macroeconomic factors.
| Original language | English |
|---|---|
| Pages (from-to) | 198-212 |
| Number of pages | 15 |
| Journal | Energy Economics |
| Volume | 59 |
| DOIs | |
| Publication status | Published - 2016 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 9 Industry, Innovation, and Infrastructure
Keywords
- interest rates
- macroeconomics
- petroleum
- prices
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