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Do Oil Price Shocks Matter? Evidence For Some Europesan Countries

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  • Juncal Cuñado
  • Fernando Pérez de Gracia

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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  • Juncal Cuñado & Fernando Pérez de Gracia, "undated". "Do Oil Price Shocks Matter? Evidence For Some Europesan Countries," Working Papers on International Economics and Finance 01-02, FEDEA.
  • Handle: RePEc:fda:fdadef:01-02
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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