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N° 2008-05 |
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| April 2008 |
On the Influence of Oil Prices on Economic Activity and Other Macroeconomic
and Financial Variables |
François Lescaroux
Valérie Mignon |
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| 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. |
Non-technical summary |
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Résumé
non-technique
en français |
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| Full text |
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| Oil prices; economic activity; causality; cyclical correlations;
cointegration; VAR processes |
Keywords |
| C22; C23; Q43 |
JEL classification |
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