Do oil price shocks matter? Evidence for some European countries

Juncal Cuñado () and Fernando Pérez de Gracia ()

No 01-02, Working Papers from Asociación Española de Economía y Finanzas Internacionales

Abstract: This paper analyzes the oil price-macroeconomy relationship by means of analyzing the impact of oil prices on inflation and industrial production indexes for many European countries using quarterly data for the period 1960-1999. First, we test for cointegration allowing for structural breaks among the variables. Second, and in order to account for the possible non-linear relationships, we use different transformation of oil price data. The main results suggest that oil prices have permanent effects on inflation and short run but asymmetric effects on production growth rates. Furthermore, significant differences are found among the responses of the countries to these shocks.

Keywords: oil price shocks; inflation; economic activity (search for similar items in EconPapers)
JEL-codes: E32 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2001-02
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Related works:
Journal Article: Do oil price shocks matter? Evidence for some European countries (2003)
Working Paper: Do Oil Price Shocks Matter? Evidence For Some Europesan Countries
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Persistent link: https://EconPapers.repec.org/RePEc:aee:wpaper:0102

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