Oil prices and global factor macroeconomic variables
Oil prices and global factor macroeconomic variables
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DOI：
10.1016/j.eneco.2016.06.002
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发表时间：
2016-09
期刊：
影响因子：
12.8
通讯作者：
Ronald A. Ratti;Joaquin Vespignani
中科院分区：
文献类型：
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作者：
Ronald A. Ratti;Joaquin Vespignani
本文利用全球因素增广误差修正模型考察了石油价格、全球工业生产、物价、中央银行政策利率与货币总量之间的关系。我们确认了以下程式化关系：i)在全球层面，货币、工业生产和价格是协整的；ii)全球油价的正向创新与全球利率收紧相关；iii)全球货币、价格水平和工业生产的正向创新与油价上涨相关；iv)全球利率的正向创新与油价下跌相关；v)美国、欧元区和中国是全球宏观经济因素的主要驱动力。
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.