Global economic activity and crude oil prices: A cointegration analysis

被引:131
作者
He, Yanan [2 ]
Wang, Shouyang [1 ]
Lai, Kin Keung [3 ]
机构
[1] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
[2] Xiamen Univ, Wang Yanan Inst Studies Econ, Xiamen 361005, Peoples R China
[3] City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
基金
中国国家自然科学基金;
关键词
Global economic activity; Crude oil prices; Kilian economic index; Cointegration; ECM; PARAMETER INSTABILITY; FUTURES PRICES; DEMAND; ENERGY; MODELS; SHOCKS; MATTER;
D O I
10.1016/j.eneco.2009.12.005
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper empirically investigates the cointegrating relationship between crude oil prices and global economic activity. The Kilian economic index is used as an indicator of global economic activity. Based on a supply-demand framework and the cointegration theory, we find that real futures prices of crude oil are cointegrated with the Kilian economic index and a trade weighted US dollar index, and crude oil prices are influenced significantly by fluctuations in the Kilian economic index through both long-run equilibrium conditions and short-run impacts. We also develop an empirically stable, data-coherent and single-equation error-correction model (ECM) which has sensible economic properties. Empirical results based on the ECM show that the adjustment implied by a permanent change in the Kilian economic index is a relatively drawn-out process. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码:868 / 876
页数:9
相关论文
共 37 条
[1]  
Adelman MorrisAlbert., 2002, The Quarterly Review of Economics and Finance, V42, P169
[2]  
[Anonymous], BROOK PAN EC ACT APR
[3]  
[Anonymous], 2008, 14492 NAT BUR EC RES
[4]  
[Anonymous], 2002, Int. Adv. Econ. Res, DOI DOI 10.1007/BF02295507
[5]   Oil price dynamics (2002-2006) [J].
Askari, Hossein ;
Krichene, Noureddine .
ENERGY ECONOMICS, 2008, 30 (05) :2134-2153
[6]   OIL FUTURES PRICES AND STOCK MANAGEMENT - A COINTEGRATION ANALYSIS [J].
BALABANOFF, S .
ENERGY ECONOMICS, 1995, 17 (03) :205-210
[7]  
Beyer A, 1998, J APPL ECONOM, V13, P57, DOI 10.1002/(SICI)1099-1255(199801/02)13:1<57::AID-JAE457>3.0.CO
[8]  
2-Z
[9]  
Brown SP., 2002, The Quarterly Review of Economics and Finance, V42, P193, DOI [10.1016/S1062-9769(02)00138-2, DOI 10.1016/S1062-9769(02)00138-2]
[10]   Modeling inflation in Australia [J].
de Brouwer, G ;
Ericsson, NR .
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 1998, 16 (04) :433-449