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Oil prices and economic activity: An asymmetric cointegration approach

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  • Lardic, Sandrine
  • Mignon, Valérie

Abstract

The aim of this paper is to study the long-term relationship between oil prices and economic activity, proxied by GDP. To account for asymmetries existing in the links between the two variables, we propose an approach based on asymmetric cointegration. Our empirical analysis concerns the U.S. economy, but also the G7, Europe and Euro area economies. Results indicate that, while standard cointegration is rejected, there is evidence for asymmetric cointegration between oil prices and GDP.

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Bibliographic Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 30 (2008)
Issue (Month): 3 (May)
Pages: 847-855

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Handle: RePEc:eee:eneeco:v:30:y:2008:i:3:p:847-855

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Web page: http://www.elsevier.com/locate/eneco

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