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...

Full description

Bibliographic Details
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/ http://irep.iium.edu.my/34394/ http://irep.iium.edu.my/34394/1/Published_paper_Institution_IE%25205.pdf

id	iium-34394
recordtype	eprints
spelling	iium-343942018-06-19T07:32:57Z 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
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
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/ http://irep.iium.edu.my/34394/ http://irep.iium.edu.my/34394/1/Published_paper_Institution_IE%25205.pdf
first_indexed	2023-09-18T20:49:35Z
last_indexed	2023-09-18T20:49:35Z
_version_	1777409903858548736

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

Similar Items