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On the Influence of Oil Prices on Economic Activity and Other Macroeconomic and Financial Variables

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Author Info

  • François Lescaroux
  • Valérie Mignon

Abstract

The aim of this paper is to investigate the links between oil prices and various macroeconomic and financial variables for a large set of countries, including both oilimporting and exporting countries. Both short-run and long-run interactions are analyzed through the implementation of causality tests, evaluation of cross-correlations between the cyclical components of the series in order to identify lead/lag relationships and cointegration analysis. Our results highlight the existence of various relationships between oil prices and macroeconomic variables and, especially, an important link between oil and share prices on the short run. Turning to the long run, numerous long-term relationships are detected, the causality generally running from oil prices to the other variables. An important conclusion is relating to the key role played by the oil market on stock markets.

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Bibliographic Info

Paper provided by CEPII research center in its series Working Papers with number 2008-05.

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Date of creation: Apr 2008
Date of revision:
Handle: RePEc:cii:cepidt:2008-05

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Related research

Keywords: Oil prices; Economic activity; Causality; Cyclical correlations; Cointegration; VAR processes;

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References

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  1. Jones, Charles M & Kaul, Gautam, 1996. " Oil and the Stock Markets," Journal of Finance, American Finance Association, vol. 51(2), pages 463-91, June.
  2. Benassy-Quere, Agnes & Mignon, Valerie & Penot, Alexis, 2007. "China and the relationship between the oil price and the dollar," Energy Policy, Elsevier, vol. 35(11), pages 5795-5805, November.
  3. Virginie Coudert & Valérie Mignon & Alexis Penot, 2008. "Oil Price and the Dollar," Post-Print halshs-00353404, HAL.
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