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Asymmetries in the relationship between economic activity and oil prices in the selected EU countries

Author

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  • Andrzej Geise

    (Nicolaus Copernicus University)

  • Mariola Pilatowska

    (Nicolaus Copernicus University)

Abstract

In this paper the threshold (T-ECM) and linear (ECM) error correction models are estimated to examine the short-run and long-run Granger causality in terms of asymmetric and symmetric relationship for seven European Union economies (Germany, France, Denmark, the Netherlands, Poland, Czech Republic and the whole EU). The relationship between production, inflation and oil prices are analyzed in the presence of structural break when both, the change in intercept and the change in the slope of the trend function exist. Threshold ECMs show the asymmetric response of production and inflation to the changes in oil prices in the case of Germany, France, Poland and the EU. For other economies (Netherlands, Denmark and Czech Republic) the reaction was rather symmetric.

Suggested Citation

  • Andrzej Geise & Mariola Pilatowska, 2016. "Asymmetries in the relationship between economic activity and oil prices in the selected EU countries," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 65-86.
    • Handle: RePEc:cpn:umkdem:v:16:y:2016:p:65-86
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    References listed on IDEAS

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    More about this item

    Keywords

    short-run asymmetry; threshold cointegration; threshold error correction model; Granger causality; oil price shock;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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