『Abstract
Many papers have been documenting and analysing the asymmetry
and the weakening of the oil price-macroeconomy relationship as
off the early eighties. While there seems to be a consensus aboyr
the factors causing the asymmetry, namely adjustment costs which
offset the benefits of low energy prices, the debate about the
weakening of the relationship is not over yet. Moreover, the alternative
oil price specifications which have been proposed by Mork (1989),
Lee et al (1995), and Hamilton (1996) to restore the stability
of the relationship fail to Granger cause output or unemployment
in post-1980 data. By using the concept of accelerations of the
oil price, we show that the weakening of this relationship corresponds
to the appearance of slow oil price increases, which have less
impact on the economy. When filtering out these slow oil price
variations from the sample, we manage to rehabilitate the causality
running from the oil price to the macroeconomy and show that far
from weakening, the oil price accelerations-GDP relationship has
even been growing stronger since the early eighties.
Keywords: Oil prices; Gross domestic product; Recursive causality
tests』
1. Introduction
2. An asymmetric and weakening oil price-GDP relationship
3. Attempts to restore a stable GDP-macroeconomy relationship
3.1. Data and methodology
3.2. Recursive causality tests
4. Slow and accelerating oil price increases
4.1. Methodology
4.2. Interpretation
5. Conclusion
Acknowledgements
References