Oil-price macroeconomic relationship in Australia and New Zealand: Application of hidden co-integration technique

Alom, Fardous (2014) Oil-price macroeconomic relationship in Australia and New Zealand: Application of hidden co-integration technique. Institutions and Economies , 6 (2). pp. 105-128. ISSN 2232-1640

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Abstract

This study examines the relationships between oil prices and macroeconomic variables such as industrial/manufacturing production index, consumer price index, real effective exchange rates, lending rates and stock price index in Australia and New Zealand within the framework of hidden cointegration technique and crouching error correction model (CECM) of Granger and Yoon (2002) using updated data; the study hopes to contribute to the literature on oil price-macroeconomic relationship in the Asia Pacific region. The results suggest a weak or no evidence of long-run relationships between crude oil prices and macroeconomic variables in these countries with few exceptions. Positive changes in crude oil prices are found to influence the increase in consumer price indices in Australia and negative changes in crude oil prices found to be responsible for the long-run relationships with decrease in stock price indices and interest rates. The study fails to find any convincing evidence of the long-run relationship between oil price and New Zealand macroeconomic variables.

Item Type:	Article (Journal)
Additional Information:	7004/34394
Uncontrolled Keywords:	Australia, Cointegration, Macroeconomic, New Zealand, Oil price
Subjects:	H Social Sciences > HB Economic Theory > HB131 Methodology.Mathematical economics. Quantitative methods H Social Sciences > HB Economic Theory > HB3711 Business cycles. Economic fluctuations
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences > Department of Economics
Depositing User:	Dr Md Fardous Alom
Date Deposited:	08 Aug 2014 15:19
Last Modified:	19 Jun 2018 15:32
URI:	http://irep.iium.edu.my/id/eprint/34394

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