Long-term effects of global oil price changes on the macroeconomy and financial markets: a comparative panel co-integration approach
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In this article, we evaluate the long-term co-integrating relationships between global oil prices (OP) and selected macroeconomic and financial market variables between large net oil-consuming (NOC) and net oil-producing (NOP) countries. Our findings indicate that as opposed to NOP countries, the macroeconomies of NOC countries have long-term co-integrating relationships with OP. However, the financial markets of both country panels exhibit long-term co-integrating relationships with OP. Finally, excluding the case of the consumer price index, the sample economies, whether NOC or NOP, respond to global OP shocks very similarly.
Applied Economics Letters
Copyright 2014 Taylor & Francis (Routledge). This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics Letters on 15 Dec 2014, available online: http://www.tandfonline.com/doi/full/10.1080/13504851.2014.990617