Oil prices and economic activity: An asymmetric cointegration approach

Lardic, Sandrine; Mignon, Valérie

doi:10.1016/j.eneco.2006.10.010

Cited by 296 publications

(152 citation statements)

References 25 publications

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“…Lardic and Mignon (2008) reach the same conclusion for other developed economies from an asymmetric cointegration approach. With regard to oil and stock markets, Jones and Kaul (1996) show that aggregate stock market returns in four developed countries 3 (the United States, Canada, Japan, and United Kingdom) are negatively related to oil price shocks.…”

Section: Introductionsupporting

confidence: 65%

“…It is widely agreed that the increases in oil prices correlate negatively with economic growth, non-oil firm-performance, and stock market activities in most oil-importing developed and emerging countries (see, e.g., Jones and Kaul, 1996;Hamilton, 1983;Basher and Sadorsky, 2006;Zhang, 2008;Lardic and Mignon, 2008;Lescaroux and Mignon, 2008;Driesprong et al, 2008). The aforementioned links are sensitively different for oil industries and net oil-exporting countries where some evidence of positive relationships has been documented (Hammoudeh and Li, 2004;Maghyereh and Al-Kandari, 2007;Arouri and Rault, 2009).…”

Section: Introductionmentioning

confidence: 99%

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Time-varying predictability in crude-oil markets: the case of GCC countries

2010

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This paper uses a time-varying parameter model with generalized autoregressive conditional heteroscedasticity effects to examine the dynamic behavior of crude-oil prices for the period 1997-2008. Using data from four countries of the Gulf Cooperation Council, we find evidence of short-term predictability in oil-price changes over time, except for several short sub-periods. However, the hypothesis of convergence towards weak-form informational efficiency is rejected for all markets. In addition, we explore the possibility of structural breaks in the time-paths of the estimated predictability indices and detect only one breakpoint, for the oil markets in Qatar and United Arab Emirates. Our empirical results therefore call for new empirical research to further gauge the predictability characteristics and the determinants of oil-price changes.

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Section: Introductionsupporting

confidence: 65%

Section: Introductionmentioning

confidence: 99%

Time-varying predictability in crude-oil markets: the case of GCC countries

2010

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“…In any case, unemployment is expected to rise and consumption to fall (Lardic and Mignon, 2006;Brown and Yucel, 2002;Davis and Haltiwanger, 2001;Caruth, Hooker and Osward, 1998). Stock markets are expected to decline as a result of a negative investing environment (Sadorsky, 1999;Jones and Kaul, 1996;Haung et al, 1996).…”

Section: Theoretical Context Of Transmission Mechanismsmentioning

confidence: 99%

Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries

Filis

Chatziantoniou

2013

Rev Quant Finan Acc

126

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In this study, we investigate the financial and monetary policy responses to oil price shocks using Structural VAR methodology. We distinguish between net oil-importing and net oil-exporting countries. Since the 80s, a significant number of empirical studies have been published investigating the effect of oil prices on macroeconomic and financial variables. Most of these studies though, do not make a distinction between oil-importing and oil-exporting economies. Overall, our results indicate that the level of inflation in both net oil-exporting and net oil-importing countries is significantly affected by oil price innovations. Furthermore, we find that the response of interest rates to an oil price shock depends heavily on the monetary policy regime of each country. Finally, stock markets exhibit a negative response to increased oil prices for almost all cases. We find evidence that the magnitude of stock market responses to oil price shocks is higher for the newly established and/or less liquid stock markets.

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“…In order to distinguish positive and negative effects of the error obtained from the cointegration regression. Asymmetric cointegration comes from the analysis of multivariate combinations arising from the decomposition of the series into positive and negative values of its cumulative sums (Lardic & Mignon, 2008).…”

Section: Empirical Modelmentioning

confidence: 99%

Trade Openness and Real Investment: Is there Asymmetric Cointegration Relationship? Evidence from Jordan

Al-Tarawneh¹

2016

IJEF

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The paper attempts to test the long-run asymmetric equilibrium relationships between real investment and trade openness. Using Jordanian data, over the period 1976 to 2014, the study has failed to reject the null hypothesis of no cointegration with threshold at a conventional level of significance among variables. Therefore, cannot find evidence of asymmetry in the relationship between real investment and trade openness.

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Oil prices and economic activity: An asymmetric cointegration approach

Cited by 296 publications

References 25 publications

Time-varying predictability in crude-oil markets: the case of GCC countries

Time-varying predictability in crude-oil markets: the case of GCC countries

Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries

Trade Openness and Real Investment: Is there Asymmetric Cointegration Relationship? Evidence from Jordan

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