Asymmetries in the Relationship between Economic Activity and Oil Prices in the Selected EU Countries
Keywordsshort-run asymmetry, threshold cointegration, threshold error correction model, Granger causality, oil price shock.
AbstractIn this paper the threshold (T-ECM) and linear (ECM) error correction models are estimated to examine the short-run and long-run Granger causality in terms of asymmetric and symmetric relationship for seven European Union economies (Germany, France, Denmark, the Netherlands, Poland, Czech Republic and the whole EU). The relationship between production, inflation and oil prices are analyzed in the presence of structural break when both, the change in intercept and the change in the slope of the trend function exist. Threshold ECMs show the asymmetric response of production and inflation to the changes in oil prices in the case of Germany, France, Poland and the EU. For other economies (Netherlands, Denmark and Czech Republic) the reaction was rather symmetric.
Bernanke, B. S., Gertler, M., Watson, M. (1997), Systematic Monetary Policy and the Effects of Oil Price Shocks, Brooking Papers on Economic Activity, 1997(1), 91–157, DOI: http://dx.doi.org/10.2307/2534702.
Chan, K. S. (1993), Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model, The Annals of Statistics, 21, 520–533, DOI: http://dx.doi.org/10.1214/aos/1176349040.
Davis, S. J., Halitwanger, J. (2001), Sectoral Job Creation and Destruction Responses to Oil Price Changes, Journal of Monetary Economics, 48, 465–512, DOI: http://dx.doi.org/10.1016/S0304-3932(01)00086-1.
Edelstein, P., Kilian, L. (2009) How Sensitive are Consumer Expenditures to Retail Energy Prices?, Journal of Monetary Economics, 56(6), 766–779, DOI: http://dx.doi.org/10.1016/j.jmoneco.2009.06.001.
Enders, W., Granger, C. W. J. (1998), Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates, Journal of Business and Economic Statistics, 16, 304–311, DOI: http://dx.doi.org/10.2307/1392506.
Enders, W., Siklos, P. (2001), Cointegration and Threshold Adjustment, Journal of Business and Economic Statistics, 19(2), 166–176, DOI: http://dx.doi.org/10.1198/073500101316970395.
Fosten, J., Morley, B., Taylor, T. (2012), Dynamic Misspecification in the Environmental Kuznets Curve: Evidence from CO2 and SO2 Emissions in the United Kingdom, Eco-logical Economics, 76, 25–33, DOI: http://dx.doi.org/10.1016/j.ecolecon.2012.01.023.
Geise, A., Piłatowska, M. (2014), Oil Prices, production and Inflation in the Selected EU Countries: Threshold Cointegration Approach, Dynamic Econometric Models, 14, 71–91, DOI: http://dx.doi.org/10.12775/DEM.2014.004.
Hamilton, J. D. (1988), A Neoclassical Model of Unemployment and the Business Cycle, Journal of Political Economy, 96(3), 593–617, DOI: http://dx.doi.org/10.1086/261553.
Hamilton, J. D. (2008), Oil and the Macroeconomy, in Durlauf S., Blume L. (eds.) The New Palgrave Dictionary of Economics, Palgrave McMillan Ltd, DOI: http://dx.doi.org/10.1057/9780230226203.1215.
Hamilton, J. D. (2011), Nonlinearities and the Macroeconomic Effects of Oil Prices, Macro-economic Dynamics, 15(S3), 364–378, DOI: http://dx.doi.org/10.1017/S1365100511000307.
Hamilton, J. D., Herrera, A. M. (2004), Oil Shocks and Aggregate macroeconomic Behavior: The Role of Monetary Policy, Journal of Money, Credit and Banking, 36(2), 265–286, DOI: http://dx.doi.org/10.1353/mcb.2004.0012.
Herrera, A. M., Lagalo, L. G., Wada, T. (2015), Asymmetries in the Response of Economic Activity to Oil Price Increases and Decreases, Journal of International Money and Fi-nance, 50, 108–133, DOI: http://dx.doi.org/10.1016/j.jimonfin.2014.09.004.
Orłowska, R., Pangsy-Kania, S. (2003), Cykle koniunkturalne – teoria, analiza i praktyka (Business Cycles – Theory, Analysis and the Practice), Fundacja Rozwoju Uniwersytetu Gdańskiego, Gdańsk.
Perron, P. (1989), The Great Crash, the Oil Price Shock and the Unit Root Hypothesis, Econometrica, 57(6), 1361–1401, DOI: http://dx.doi.org/10.2307/1913712.
Piłatowska, M., Włodarczyk, A., Zawada, M. (2014), The Environmental Kuznets Curve in Poland – Evidence from Threshold Cointegration Analysis, Dynamic Econometric Models, 14, 51–70, DOI: http://dx.doi.org/10.12775/DEM.2014.003.
Stigler, M. (2010), Threshold cointegration: overview and implementation in R, Web-DOC, https://cran.r-project.org/web/packages/tsDyn/vignettes/ThCointOverview.pdf
Tsay, R. S. (1989), Testing and Modeling Threshold Autoregressive Processes, Journal of the American Statistical Association, 84(405), 231–240, DOI: http://dx.doi.org/10.1080/01621459.1989.10478760.
How to Cite
The journal provides an Open Access to its content based on the non-exclusive licence Creative Commons (CC BY-ND 4.0).
To enable the publisher to disseminate the author's work to the fullest extent, the author must agrees to the terms and conditions of the License Agreement with Nicolaus Copernicus University.
Number of views and downloads: 238
Number of citations: 0