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The Dynamics of Financial and Macroeconomic Determinants in Natural Gas and Crude Oil Markets: Evidence from Organization for Economic Cooperation and Development/Gulf Cooperation Council/Organization of the Petroleum Exporting Countries Countries

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  • Merve Karacaer-Ulusoy

    (Department of International Trade and Business, Ankara Yildirim Beyazit University, Turkey)

  • Ayhan Kapusuzoglu

    (Department of Banking and Finance, Ankara Yildirim Beyazit University, Turkey)

Abstract

This study analyzes the countries in the Organization for Economic Cooperation and Development, Gulf Cooperation Council and Organization of the Petroleum Exporting Countries to test the casual relationship between world energy prices (Brent Oil, West Texas Intermediate, Dubai, Henry Hub (HH), Japan and Russia) and the liquidity level, stock market and industrial production. Augmented Dickey Fuller, Phillips-Perron and Kwiatkowski-PhillipsSchmidt-Shin unit root tests, Johansen cointegration and Granger causality analyses are implemented during the study. The empirical findings indicate that there are multidirectional relationships between the above-mentioned variables. These relationships can be explained by the factors that each country group owns within the framework of their energy sources, financial markets, economic conditions and geographical positions. The data accrued and analyzed in this study is presented as a contribution to guide policymakers, global investors and researchers in constituting an extensive country specific energy, macroeconomic and financial policies.

Suggested Citation

  • Merve Karacaer-Ulusoy & Ayhan Kapusuzoglu, 2017. "The Dynamics of Financial and Macroeconomic Determinants in Natural Gas and Crude Oil Markets: Evidence from Organization for Economic Cooperation and Development/Gulf Cooperation Council/Organization," International Journal of Energy Economics and Policy, Econjournals, vol. 7(3), pages 167-187.
    • Handle: RePEc:eco:journ2:2017-03-21
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    2. Mukhtar Danladi Galadima & Abubakar Wambai Aminu, 2017. "Asymmetric cointegration and causality between natural gas consumption and economic growth in Nigeria," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, vol. 2017(3), pages 59-71.
    3. Bobylev, Yuri (Бобылев, Юрий) & Rasenko, O.A. (Расенко, О.), 2016. "The Development of the Oil Sector of the Russian Economy: Main Trends and Public Policy [Развитие Нефтяного Сектора Экономики России: Основные Тенденции И Государственная Политика]," Working Papers 1667, Russian Presidential Academy of National Economy and Public Administration.
    4. Lin, Boqiang & Su, Tong, 2021. "Do China's macro-financial factors determine the Shanghai crude oil futures market?," International Review of Financial Analysis, Elsevier, vol. 78(C).

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    More about this item

    Keywords

    Oil and Natural Gas Prices; Financial and Economic Developments; Cointegration; Causality;
    All these keywords.

    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; State Space Models
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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