Oil prices and global factor macroeconomic variables
Abstract
This paper investigates the relationship between oil prices, global industrial production, prices, central bank policy interest rate and monetary aggregate with a global factor-augmented error correction model. We confirm the following stylized relationships: i) at global level, money, industrial production and prices are cointegrated; ii) positive innovation in global oil price is connected with global interest rate tightening; iii) positive innovation in global money, price level and industrial production is connected with an increase in oil prices; iv) positive innovations in global interest rate are associated with a decline in oil prices; and v) the U.S., Euro area and China are the main drivers of global macroeconomic factors.
- Publication:
-
Energy Economics
- Pub Date:
- September 2016
- DOI:
- Bibcode:
- 2016EneEc..59..198R
- Keywords:
-
- E44;
- E50;
- Q43;
- Global interest rate;
- Global monetary aggregates;
- Oil prices;
- GFAVEC