Since 2014
Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach
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| Creator |
Geise, Andrzej; Nicolaus Copernicus University, Faculty of Economic Sciences and Management
Piłatowska, Mariola; Nicolaus Copernicus University, Faculty of Economic Sciences and Management |
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| Subject |
asymmetric adjustment; oil price shocks; threshold cointegration; non-linearity; threshold error correction model
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| Description |
This paper applies the threshold cointegration technique developed by Enders and Siklos (2001) to investigate the impact of an oil price changes on changes in production and inflation in the presence of structural break in seven European Union countries. This technique will allow for a different speed of adjustment to the long-run equilibrium depending on whether production in selected economies is above or below the long-run relationship. Given the presence of asymmetric cointegration between oil prices, production and inflation, we estimate threshold error correction models to examine long- and short-run Granger causality. We found evidence for cointegration with asymmetric adjustment in the case of France, Denmark and the total EU.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
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| Date |
2015-04-15
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2014.004
10.12775/DEM.2014.004 |
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| Source |
Dynamic Econometric Models; Vol 14 (2014); 71-91
Dynamic Econometric Models; Vol 14 (2014); 71-91 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2014.004/5252
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| Rights |
Copyright (c) 2015 Dynamic Econometric Models
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