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Do oil price shocks matter? Evidence for some European countries

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  • Juncal Cuñado

    (University of Navarra)

  • Fernando Pérez de Gracia

    (University of Navarra)

Abstract

This 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 Info

Paper provided by Asociación Española de Economía y Finanzas Internacionales in its series Working Papers with number 01-02.

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Length: 26 pages
Date of creation: Feb 2001
Date of revision:
Handle: RePEc:aee:wpaper:0102

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Keywords: oil price shocks; inflation; economic activity;

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  9. Hooker, Mark A., 1996. "What happened to the oil price-macroeconomy relationship?," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 195-213, October.
  10. Gregory, A.W. & Hansen, B.E., 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," RCER Working Papers 335, University of Rochester - Center for Economic Research (RCER).
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  13. James D. Hamilton, 2000. "What is an Oil Shock?," NBER Working Papers 7755, National Bureau of Economic Research, Inc.
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  16. Tatom, John A., 1988. "Are the macroeconomic effects of oil-price changes symmetric?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 28(1), pages 325-368, January.
  17. Anindya Banerjee & Robin L. Lumsdaine & James H. Stock, 1990. "Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence," NBER Working Papers 3510, National Bureau of Economic Research, Inc.
  18. Hamilton, James D., 1996. "This is what happened to the oil price-macroeconomy relationship," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 215-220, October.
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