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

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 t...

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Main Author: Alom, Fardous
Format: Article
Language:English
Published: University of Malaya 2014
Subjects:
HB131 Methodology.Mathematical economics. Quantitative methods
HB3711 Business cycles. Economic fluctuations
Online Access:http://irep.iium.edu.my/34394/1/Published_paper_Institution_IE%25205.pdf
http://irep.iium.edu.my/34394/
http://ijie.um.edu.my/filebank/published_article/6532/IE%205.pdf
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spelling my.iium.irep.34394 http://irep.iium.edu.my/34394/ Oil-price macroeconomic relationship in Australia and New Zealand: Application of hidden co-integration technique Alom, Fardous HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations 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. University of Malaya 2014-07 Article PeerReviewed application/pdf en http://irep.iium.edu.my/34394/1/Published_paper_Institution_IE%25205.pdf 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 http://ijie.um.edu.my/filebank/published_article/6532/IE%205.pdf
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
topic HB131 Methodology.Mathematical economics. Quantitative methods
HB3711 Business cycles. Economic fluctuations
spellingShingle HB131 Methodology.Mathematical economics. Quantitative methods
HB3711 Business cycles. Economic fluctuations
Alom, Fardous
Oil-price macroeconomic relationship in Australia and New Zealand: Application of hidden co-integration technique
description 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.
format Article
author Alom, Fardous
author_facet Alom, Fardous
author_sort Alom, Fardous
title Oil-price macroeconomic relationship in Australia and New Zealand: Application of hidden co-integration technique
title_short Oil-price macroeconomic relationship in Australia and New Zealand: Application of hidden co-integration technique
title_full Oil-price macroeconomic relationship in Australia and New Zealand: Application of hidden co-integration technique
title_fullStr Oil-price macroeconomic relationship in Australia and New Zealand: Application of hidden co-integration technique
title_full_unstemmed Oil-price macroeconomic relationship in Australia and New Zealand: Application of hidden co-integration technique
title_sort oil-price macroeconomic relationship in australia and new zealand: application of hidden co-integration technique
publisher University of Malaya
publishDate 2014
url http://irep.iium.edu.my/34394/1/Published_paper_Institution_IE%25205.pdf
http://irep.iium.edu.my/34394/
http://ijie.um.edu.my/filebank/published_article/6532/IE%205.pdf
_version_ 1643616563698335744
score 13.211869

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