Oil prices and economic activity: An asymmetric cointegration approach

被引：206

作者：

Lardic, Sandrine ^{[1
]}

Mignon, Valerie ^{[1
,2
]}

机构：

[1] Univ Paris 10, EconomiX CNRS, F-92001 Nanterre, France

[2] CEPII, Paris, France

来源：

ENERGY ECONOMICS | 2008年 / 30卷 / 03期

关键词：

oil prices; GDP; asymmetric cointegration;

D O I：

10.1016/j.eneco.2006.10.010

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The aim of this paper is to study the long-term relationship between oil prices and economic activity, proxied by GDP. To account for asymmetries existing in the links between the two variables, we propose an approach based on asymmetric cointegration. Our empirical analysis concerns the U.S. economy, but also the G7, Europe and Euro area economies. Results indicate that, while standard cointegration is rejected, there is evidence for asymmetric cointegration between oil prices and GDP. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：847 / 855

页数：9

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