CEPII, Recherche et Expertise sur l'economie mondiale
On the Influence of Oil Prices on Economic Activity and Other Macroeconomic and Financial Variables

François Lescaroux
Valérie Mignon

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 Résumé :
The aim of this paper is to investigate the links between oil prices and various macroeconomic and financial variables for a large set of countries, including both oilimporting and exporting countries. Both short-run and long-run interactions are analyzed through the implementation of causality tests, evaluation of cross-correlations between the cyclical components of the series in order to identify lead/lag relationships and cointegration analysis. Our results highlight the existence of various relationships between oil prices and macroeconomic variables and, especially, an important link between oil and share prices on the short run. Turning to the long run, numerous long-term relationships are detected, the causality generally running from oil prices to the other variables. An important conclusion is relating to the key role played by the oil market on stock markets.

 Mots-clés : Prix du pétrole | Activité économique | Causalité | Corrélations cycliques | Cointégration | Provessus VAR

 JEL : C22, C23, Q43
CEPII Working Paper
N°2008-05, April 2008

Résumés non-techniques

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 Domaines d'expertise

Monnaie & Finance