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)|
|Number of pages||8|
|Journal||International Review of Financial Analysis|
|State||Published - Sep 1 2010|
- Oil and macroeconomy
ASJC Scopus subject areas
- Economics and Econometrics