Oil prices and global factor macroeconomic variables

Ronald Ratti and Joaquin Vespignani

No 2015-08, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: This paper investigates the relationship between oil prices, and global output, prices, central bank policy interest rate and monetary aggregates with a global factor-augmented error correction model. We confirm the following stylized relationships: i) in line with the quantitative theory of money, at global level, money, output 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 output is connected with an increase in oil prices; iv) positive innovations in global interest rate are associated with a decline in oil prices; v) positive shocks to the trade weighted U.S. dollar are linked with reductions in oil price; vi) 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)
Pages: 39 pages
Date: 2015
New Economics Papers: this item is included in nep-ene, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published by the University of Tasmania. Discussion paper 2015-08

Downloads: (external link)
http://eprints.utas.edu.au/22665/1/2015-08_Ratti.pdf
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://eprints.utas.edu.au/22665/1/2015-08_Ratti.pdf [302 Moved Temporarily]--> https://eprints.utas.edu.au/22665/1/2015-08_Ratti.pdf [302 Found]--> https://figshare.utas.edu.au/ndownloader/files/41329674 [302 Found]--> https://s3-ap-southeast-2.amazonaws.com/figshare-production-eu-utas-storage2718-ap-southeast-2/41329674/201508_Ratti.pdf?X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz-Credential=AKIARRFKZQ25CRVZALJA/20250418/ap-southeast-2/s3/aws4_request&X-Amz-Date=20250418T135611Z&X-Amz-Expires=10&X-Amz-SignedHeaders=host&X-Amz-Signature=b11733c005f8e486837186bf28466c51b954d6e3f794877685bd1c83815aad4d)

Related works:
Journal Article: Oil prices and global factor macroeconomic variables (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tas:wpaper:22665

Access Statistics for this paper

More papers in Working Papers from University of Tasmania, Tasmanian School of Business and Economics Contact information at EDIRC.
Bibliographic data for series maintained by Oscar Pavlov ().