Oil prices and global factor macroeconomic variables

Ronald A. Ratti; Joaquin L. Vespignani

doi:10.1016/j.eneco.2016.06.002

Oil prices and global factor macroeconomic variables

Ronald A. Ratti, Joaquin L. Vespignani

Western Sydney University

Research output: Contribution to journal › Article › peer-review

154 Citations (Scopus)

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	https://doi.org/10.1016/j.eneco.2016.06.002
Publication status	Published - 2016

Keywords

interest rates
macroeconomics
petroleum
prices

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.eneco.2016.06.002

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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.",

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AU - Ratti, Ronald A.

AU - Vespignani, Joaquin L.

PY - 2016

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AB - 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.

KW - interest rates

KW - macroeconomics

KW - petroleum

KW - prices

UR - http://handle.uws.edu.au:8081/1959.7/uws:37603

U2 - 10.1016/j.eneco.2016.06.002

DO - 10.1016/j.eneco.2016.06.002

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VL - 59

SP - 198

EP - 212

JO - Energy Economics

JF - Energy Economics

ER -

Oil prices and global factor macroeconomic variables

Abstract

Keywords

UN SDGs

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