Long-term effects of global oil price changes on the macroeconomy and financial markets: a comparative panel co-integration approach

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Accepted Manuscript (AM)
Author(s)
Sotoudeh, M Ali
Worthington, Andrew C
Griffith University Author(s)
Year published
2015
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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.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.
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Journal Title
Applied Economics Letters
Volume
22
Issue
12
Copyright Statement
© 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
Subject
Applied economics
Financial economics
Banking, finance and investment