Long-term effects of global oil price changes on the macroeconomy and financial markets: a comparative panel co-integration approach

Abstract

In this article, we evaluate the long-term co-integrating relationships between global oil prices (OP) and selected macroeconomic and financial market variables between large net oil-consuming (NOC) and net oil-producing (NOP) countries. Our findings indicate that as opposed to NOP countries, the macroeconomies of NOC countries have long-term co-integrating relationships with OP. However, the financial markets of both country panels exhibit long-term co-integrating relationships with OP. Finally, excluding the case of the consumer price index, the sample economies, whether NOC or NOP, respond to global OP shocks very similarly.

Keywords:

• oil price shocks
• net oil-consuming/-producing countries
• panel co-integration
• impulse-response functions

JEL Classification:

• C22
• C33
• G10
• Q43