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Dynamic Econometric Models

Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach
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Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach

Authors

  • Andrzej Geise Nicolaus Copernicus University, Faculty of Economic Sciences and Management http://orcid.org/0000-0003-4581-5484
  • Mariola Piłatowska Nicolaus Copernicus University, Faculty of Economic Sciences and Management http://orcid.org/0000-0002-9284-7190

DOI:

https://doi.org/10.12775/DEM.2014.004

Keywords

asymmetric adjustment, oil price shocks, threshold cointegration, non-linearity, threshold error correction model

Abstract

This paper applies the threshold cointegration technique developed by Enders and Siklos (2001) to investigate the impact of an oil price changes on changes in production and inflation in the presence of structural break in seven European Union countries. This technique will allow for a different speed of adjustment to the long-run equilibrium depending on whether production in selected economies is above or below the long-run relationship. Given the presence of asymmetric cointegration between oil prices, production and inflation, we estimate threshold error correction models to examine long- and short-run Granger causality. We found evidence for cointegration with asymmetric adjustment in the case of France, Denmark and the total EU.

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Dynamic Econometric Models

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Published

2015-04-15

How to Cite

1.
GEISE, Andrzej and PIŁATOWSKA, Mariola. Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach. Dynamic Econometric Models. Online. 15 April 2015. Vol. 14, pp. 71-91. [Accessed 8 July 2025]. DOI 10.12775/DEM.2014.004.
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Vol. 14 (2014)

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