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Global economic activity and crude oil prices: A cointegration analysis

文献类型：期刊论文

作者He, Yanan2; Wang, Shouyang1; Lai, Kin Keung3
刊名ENERGY ECONOMICS
出版日期2010-07-01
卷号32期号:4页码:868-876
关键词Global economic activity Crude oil prices Kilian economic index Cointegration ECM
ISSN号0140-9883
DOI10.1016/j.eneco.2009.12.005
英文摘要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.
WOS研究方向Business & Economics
语种英语
WOS记录号WOS:000279644200014
出版者ELSEVIER SCIENCE BV
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/11065]  
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.

入库方式： OAI收割

来源：数学与系统科学研究院

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