On the Influence of Oil Prices on Economic Activity and Other Macroeconomic and Financial Variables

François Lescaroux () and Valérie Mignon ()

Working Papers from CEPII research center

Abstract: The aim of this paper is to investigate the links between oil prices and various macroeconomic and financial variables for a large set of countries, including both oilimporting and exporting countries. Both short-run and long-run interactions are analyzed through the implementation of causality tests, evaluation of cross-correlations between the cyclical components of the series in order to identify lead/lag relationships and cointegration analysis. Our results highlight the existence of various relationships between oil prices and macroeconomic variables and, especially, an important link between oil and share prices on the short run. Turning to the long run, numerous long-term relationships are detected, the causality generally running from oil prices to the other variables. An important conclusion is relating to the key role played by the oil market on stock markets.

Keywords: Oil prices; Economic activity; Causality; Cyclical correlations; Cointegration; VAR processes (search for similar items in EconPapers)
JEL-codes: C22 C23 Q43 (search for similar items in EconPapers)
Date: 2008-04
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (148)

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