Re-examining the dynamic causal oil-macroeconomy relationship

Shawkat Hammoudeh, Ramaprasad Bhar, Mark A. Thompson

Research output: Contribution to journalArticle

13 Scopus citations

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
Externally publishedYes

Keywords

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

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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