Oil prices and economic activity: An asymmetric cointegration approach

By Sandrine Lardic, Valérie Mignon. 2008

420 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c3d7e830436774f79e4d87910a90c8d5d6789353

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In Economics and Econometrics

Citations in the corpus

Asymmetric impact of oil prices, exchange rate, and inflation on tourism demand in Pakistan: new evidence from nonlinear ARDL (2018, neutral): “…& Pourpourides, 2016; Bahmani-Oskooee & Fariditavana, 2016; Delatte & López-Villavicencio, 2012; Verheyen, 2013a, 2013b), inflation (Katrakilidis & Trachanas, 2012), and oil prices (Ibrahim, 2015; Lardic & Mignon, 2008; Qin, Zhou, & Wu, 2016; Raza, Hussain Shahzad, KumarTiwari, & Shahbaz, 2016).”
Environmental regulations an option: Asymmetry effect of environmental regulations on carbon emissions using non-linear ARDL (2018, background): “…hidden Cointegration by estimating equation (1), which is unable to be interpreted accurately the estimated asymmetric coefficients, therefore, restriction has been imposed on the coefficient from equation (1) such as γþ5 ¼ ϕ þ 6 ψ1 and γ 6 ¼ υ 7 ψ1 (Granger and Yoon 2002; Lardic and Mignon 2008).”
Asymmetric exchange rate pass-through: Evidence from major countries (2012, positive): “(4) Examples of applied analysis applying decompositions based on positive and negative changes can be found in Webber (1999) who analyzes the relationship between the exchange rate and import prices, Lee (2000) and Virén (2001) on asymmetries in Okun's Law or Borenstein, et.”
Is there co-movement of agricultural commodities futures prices and crude oil? (2011, background): “Lardic and Mignon (2008) studied the long-term relationship between oil prices and economic activity, proxied by GDP, for the US, G7, Europe and Euro area economies.”
Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021, neutral): “Several studies have confirmed that, because oil still being one of the most popular sources of energy used, crude oil prices are the leading cause of commodity price volatility (Abd Elaziz et al., 2019; He et al., 2010; Lardic & Mignon, 2008; Shafiee & Topal, 2010a, 2010b).”
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2013, positive): “Lardic and Mignon (2008) analyse hidden cointegration between the price of oil and GDP, although they fail to provide any economically meaningful interpretation of the estimated asymmetric coefficients.”
Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models (2012, background): “Moreover, some recent studies have consistently documented that oil price changes affect economic activity and stock market returns in a nonlinear fashion (Ciner, 2001; Maghyereh and Al-Kandari, 2007; Zhang, 2008; Lardic and Mignon, 2008; Cologni and Manera, 2009).”
Assessing the impacts of oil price fluctuations on stock returns in emerging markets (2012, background): “…affect economic growth through a number of channels such as rising production cost, inflation, and investor confidence (e.g., Hamilton, 2003; Kilian, 2008; Lardic and Mignon, 2008), one would expect some degree of interdependence between oil prices and stock market performance (Huang et al., 1996).”
What explains the short-term dynamics of the prices of CO2 emissions? (2014, background): “This result is not unexpected since rising oil prices tend to reduce economic growth (Hamilton, 1983, 2003; Lardic and Mignon, 2008; Kilian, 2008), which in turn diminish energy consumption and the need for carbon emission credits, leading to lower carbon emission prices.”
Oil Prices and Stock Markets: What Drives What in the Gulf Corporation Council Countries? (2010, methodology): “Using a VAR model, Papapetrou (2001) shows a significant relationship between oil price changes and stock markets in Greece.”
Relationship between oil prices, interest rate, and unemployment: Evidence from an emerging market (2010, background): “Previous studies document various transmission channels through which oil price shocks may have an impact on the economic activity (Davis and Haltiwanger, 2001; Brown and Yucel, 2002; Lardic and Mignon, 2008).”