Do Oil Prices Matter? The Case of a Small Open Economy
AbstractThis paper empirically evaluates the impact and effect of oil price fluctuations and shocks on French aggregate economic performance, industrial production index and inflation rate. Our methodology makes use of a multivariate VAR approach to analyse the stability and magnitude of this system by adopting different oil price specifications, together with a robustness check through the estimation of a St.Louis-type equation. We adopt several oil price specifications. Our results show that the main French macroeconomic aggregate variables have become progressively less reactive to oil price fluctuations and that the adjustment towards equilibrium levels have been done increasingly faster.
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Bibliographic InfoArticle provided by Society for AEF in its journal Annals of Economics and Finance.
Volume (Year): 10 (2009)
Issue (Month): 1 (May)
Oil price fluctuations; Multivariate VAR; Causality; Impulse Response; St.Louis Equation;
Find related papers by 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
- 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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