Re-examining the dynamic causal oil-macroeconomy relationship

Shawkat Hammoudeh; Ramaprasad Bhar; Mark A. Thompson

doi:10.1016/j.irfa.2010.09.002

Re-examining the dynamic causal oil-macroeconomy relationship

Shawkat Hammoudeh, Ramaprasad Bhar, Mark A. Thompson

Research output: Contribution to journal › Article › peer-review

24 Scopus citations

Abstract

We investigate the cyclical component dynamics of US macroeconomic variables and oil benchmark prices in a regime-switching environment. We compare two different oil benchmark cycles, and the results indicate that WTI and Brent are not perfect substitutes in the US economy when it comes to dynamic causal oil-macroeconomic relationships. The results provide valuable information to policymakers regarding the impacts of major oil prices on different macroeconomic variables and their interrelations among the macroeconomic variables.

Original language	English (US)
Pages (from-to)	298-305
Number of pages	8
Journal	International Review of Financial Analysis
Volume	19
Issue number	4
DOIs	https://doi.org/10.1016/j.irfa.2010.09.002
State	Published - Sep 1 2010
Externally published	Yes

Keywords

C51
Cycles
Decomposition
E27
Oil and macroeconomy
Q43
Regimes
Trends

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.irfa.2010.09.002

Cite this

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abstract = "We investigate the cyclical component dynamics of US macroeconomic variables and oil benchmark prices in a regime-switching environment. We compare two different oil benchmark cycles, and the results indicate that WTI and Brent are not perfect substitutes in the US economy when it comes to dynamic causal oil-macroeconomic relationships. The results provide valuable information to policymakers regarding the impacts of major oil prices on different macroeconomic variables and their interrelations among the macroeconomic variables.",

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AU - Bhar, Ramaprasad

AU - Thompson, Mark A.

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N2 - We investigate the cyclical component dynamics of US macroeconomic variables and oil benchmark prices in a regime-switching environment. We compare two different oil benchmark cycles, and the results indicate that WTI and Brent are not perfect substitutes in the US economy when it comes to dynamic causal oil-macroeconomic relationships. The results provide valuable information to policymakers regarding the impacts of major oil prices on different macroeconomic variables and their interrelations among the macroeconomic variables.

AB - We investigate the cyclical component dynamics of US macroeconomic variables and oil benchmark prices in a regime-switching environment. We compare two different oil benchmark cycles, and the results indicate that WTI and Brent are not perfect substitutes in the US economy when it comes to dynamic causal oil-macroeconomic relationships. The results provide valuable information to policymakers regarding the impacts of major oil prices on different macroeconomic variables and their interrelations among the macroeconomic variables.

KW - C51

KW - Cycles

KW - Decomposition

KW - E27

KW - Oil and macroeconomy

KW - Q43

KW - Regimes

KW - Trends

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JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

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ER -

Re-examining the dynamic causal oil-macroeconomy relationship

Abstract

Keywords

ASJC Scopus subject areas

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