Description

• Title:
  Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach
• Creator:
  Geise, Andrzej;
  Piłatowska, Mariola
• 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.
• Object availability:
  free access
• Rights:
  Prawa autorskie (c) 2015 Dynamic Econometric Models
• Date:
  2015.04.15
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Language:
  English
• Source:
  Dynamic Econometric Models; Vol. 14 (2014); 71-91;
  Dynamic Econometric Models; Tom 14 (2014); 71-91;
  2450-7067;
  1234-3862
• Format:
  application/pdf
• Publisher:
  Nicolaus Copernicus University
• Relation: https://apcz.umk.pl/DEM/article/view/DEM.2014.004/5252
• Subject:
  asymmetric adjustment;
  oil price shocks;
  threshold cointegration;
  non-linearity;
  threshold error correction model
• Identifier: https://apcz.umk.pl/DEM/article/view/DEM.2014.004
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  seek permission
• Type:
  text