Do oil price shocks matter? Evidence for some European countries
AbstractThis paper analyzes the oil price-macroeconomy relationship by means of analyzing the impact of oil prices on inflation and industrial production indexes for many European countries using quarterly data for the period 1960-1999. First, we test for cointegration allowing for structural breaks among the variables. Second, and in order to account for the possible non-linear relationships, we use different transformation of oil price data. The main results suggest that oil prices have permanent effects on inflation and short run but asymmetric effects on production growth rates. Furthermore, significant differences are found among the responses of the countries to these shocks.
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Bibliographic InfoArticle provided by Elsevier in its journal Energy Economics.
Volume (Year): 25 (2003)
Issue (Month): 2 (March)
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Web page: http://www.elsevier.com/locate/eneco
Other versions of this item:
- Juncal Cuñado & Fernando Pérez de Gracia, . "Do Oil Price Shocks Matter? Evidence For Some Europesan Countries," Working Papers on International Economics and Finance 01-02, FEDEA.
- Juncal Cuñado & Fernando Pérez de Gracia, 2001. "Do oil price shocks matter? Evidence for some European countries," Working Papers 01-02, Asociación Española de Economía y Finanzas Internacionales.
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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