Journal
ENERGY ECONOMICS
Volume 30, Issue 3, Pages 847-855Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.eneco.2006.10.010
Keywords
oil prices; GDP; asymmetric cointegration
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The aim of this paper is to study the long-term relationship between oil prices and economic activity, proxied by GDP. To account for asymmetries existing in the links between the two variables, we propose an approach based on asymmetric cointegration. Our empirical analysis concerns the U.S. economy, but also the G7, Europe and Euro area economies. Results indicate that, while standard cointegration is rejected, there is evidence for asymmetric cointegration between oil prices and GDP. (c) 2006 Elsevier B.V. All rights reserved.
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