Re-examining the dynamic causal oil-macroeconomy relationship

Shawkat Hammoudeh, Ramaprasad Bhar, Mark Andrew Thompson

Research output: Contribution to journalArticle

13 Citations (Scopus)

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 languageEnglish (US)
Pages (from-to)298-305
Number of pages8
JournalInternational Review of Financial Analysis
Volume19
Issue number4
DOIs
StatePublished - Sep 1 2010

Fingerprint

Oil
Macroeconomic variables
Macroeconomy
Benchmark
US economy
Regime switching
Politicians
Macroeconomics
Substitute
Oil prices

Keywords

  • C51
  • Cycles
  • Decomposition
  • E27
  • Oil and macroeconomy
  • Q43
  • Regimes
  • Trends

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Cite this

Re-examining the dynamic causal oil-macroeconomy relationship. / Hammoudeh, Shawkat; Bhar, Ramaprasad; Thompson, Mark Andrew.

In: International Review of Financial Analysis, Vol. 19, No. 4, 01.09.2010, p. 298-305.

Research output: Contribution to journalArticle

@article{5433c513cf5049c8a518c98fb82d13a7,
title = "Re-examining the dynamic causal oil-macroeconomy relationship",
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.",
keywords = "C51, Cycles, Decomposition, E27, Oil and macroeconomy, Q43, Regimes, Trends",
author = "Shawkat Hammoudeh and Ramaprasad Bhar and Thompson, {Mark Andrew}",
year = "2010",
month = "9",
day = "1",
doi = "10.1016/j.irfa.2010.09.002",
language = "English (US)",
volume = "19",
pages = "298--305",
journal = "International Review of Financial Analysis",
issn = "1057-5219",
publisher = "Elsevier Inc.",
number = "4",

}

TY - JOUR

T1 - Re-examining the dynamic causal oil-macroeconomy relationship

AU - Hammoudeh, Shawkat

AU - Bhar, Ramaprasad

AU - Thompson, Mark Andrew

PY - 2010/9/1

Y1 - 2010/9/1

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

UR - http://www.scopus.com/inward/record.url?scp=78149467653&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=78149467653&partnerID=8YFLogxK

U2 - 10.1016/j.irfa.2010.09.002

DO - 10.1016/j.irfa.2010.09.002

M3 - Article

AN - SCOPUS:78149467653

VL - 19

SP - 298

EP - 305

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

SN - 1057-5219

IS - 4

ER -