Global economic activity and crude oil prices: A cointegration analysis

doi:10.1016/j.eneco.2009.12.005

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	Global economic activity and crude oil prices: A cointegration analysis
	He, Yanan 2; Wang, Shouyang1 ; Lai, Kin Keung 3
	2010-07-01
发表期刊	ENERGY ECONOMICS
ISSN	0140-9883
卷号	32 期号:4 页码:868-876
摘要	This paper empirically investigates the cointegrating relationship between crude oil prices and global economic activity. The Kilian economic index is used as an indicator of global economic activity. Based on a supply-demand framework and the cointegration theory, we find that real futures prices of crude oil are cointegrated with the Kilian economic index and a trade weighted US dollar index, and crude oil prices are influenced significantly by fluctuations in the Kilian economic index through both long-run equilibrium conditions and short-run impacts. We also develop an empirically stable, data-coherent and single-equation error-correction model (ECM) which has sensible economic properties. Empirical results based on the ECM show that the adjustment implied by a permanent change in the Kilian economic index is a relatively drawn-out process. (C) 2009 Elsevier B.V. All rights reserved.
关键词	Global economic activity Crude oil prices Kilian economic index Cointegration ECM
DOI	10.1016/j.eneco.2009.12.005
语种	英语
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000279644200014
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/11066
专题	系统科学研究所
通讯作者	Wang, Shouyang
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Xiamen Univ, Wang Yanan Inst Studies Econ, Xiamen 361005, Peoples R China 3.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	He, Yanan,Wang, Shouyang,Lai, Kin Keung. Global economic activity and crude oil prices: A cointegration analysis[J]. ENERGY ECONOMICS,2010,32(4):868-876.
APA	He, Yanan,Wang, Shouyang,&Lai, Kin Keung.(2010).Global economic activity and crude oil prices: A cointegration analysis.ENERGY ECONOMICS,32(4),868-876.
MLA	He, Yanan,et al."Global economic activity and crude oil prices: A cointegration analysis".ENERGY ECONOMICS 32.4(2010):868-876.