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Asymmetries in the Relationship between Economic Activity and Oil Prices in the Selected EU Countries

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dc.contributor.author Geise, Andrzej
dc.contributor.author Piłatowska, Mariola
dc.date.accessioned 2017-04-18T12:00:40Z
dc.date.available 2017-04-18T12:00:40Z
dc.date.issued 2016-12-28
dc.identifier.citation Dynamic Econometric Models, No. 1, Vol. 16, pp. 65-86
dc.identifier.issn 2450-7067
dc.identifier.other doi:10.12775/DEM.2016.004
dc.identifier.uri http://repozytorium.umk.pl/handle/item/4161
dc.description.abstract In this paper the threshold (T-ECM) and linear (ECM) error correction models are estimated to examine the short-run and long-run Granger causality in terms of asymmetric and symmetric relationship for seven European Union economies (Germany, France, Denmark, the Netherlands, Poland, Czech Republic and the whole EU). The relationship between production, inflation and oil prices are analyzed in the presence of structural break when both, the change in intercept and the change in the slope of the trend function exist. Threshold ECMs show the asymmetric response of production and inflation to the changes in oil prices in the case of Germany, France, Poland and the EU. For other economies (Netherlands, Denmark and Czech Republic) the reaction was rather symmetric.
dc.language.iso eng
dc.rights Attribution-NoDerivs 3.0 Poland
dc.rights info:eu-repo/semantics/openAccess
dc.rights.uri http://creativecommons.org/licenses/by-nd/3.0/pl/
dc.subject short-run asymmetry
dc.subject threshold cointegration
dc.subject threshold error correction model
dc.subject Granger causality
dc.subject oil price shock
dc.title Asymmetries in the Relationship between Economic Activity and Oil Prices in the Selected EU Countries
dc.type info:eu-repo/semantics/article


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