Oil prices and global factor macroeconomic variables

Ronald Ratti and Joaquin Vespignani

Energy Economics, 2016, vol. 59, issue C, 198-212

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.

Keywords: Global interest rate; Global monetary aggregates; Oil prices; GFAVEC (search for similar items in EconPapers)
JEL-codes: E44 E50 Q43 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (79)

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Working Paper: Oil prices and global factor macroeconomic variables (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:59:y:2016:i:c:p:198-212

DOI: 10.1016/j.eneco.2016.06.002

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