Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/271220 
Year of Publication: 
2018
Series/Report no.: 
QMS Research Paper No. 2018/04
Publisher: 
Queen's University Belfast, Queen's Management School, Belfast
Abstract: 
Establishing the relation between oil price movements and macroeconomic performance is of great importance for firms and policymakers, alike. Prior studies established this relation using the assumption that the long-run relation is intertemporally constant. However, there is much recent evidence demonstrating that this assumption may not hold in practice. To address this issue and go beyond the restrictive time-invariant environment, we employ the use of the time-varying cointegration framework of Bierens 2010. We present evidence of the long-run oil-economy relation evolving over the 1974-2015 period, with major events such as the Gulf War and the financialisation of commodity markets proving to be driving forces across the U.S., European and G7 economies considered.
Subjects: 
Marcoeconomy
oil prices
WTI Oil
Brent Oil
long-run
JEL: 
Q43
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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