The relationship between the price of oil and macroeconomic performance: empirical evidence for the UK

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    Abstract

    This study adopts a vector autoregressive (VAR) approach towards investigating the relationship between the price of oil and UK macroeconomic performance over the period of floating exchange rates. Its distinctive feature is the allowance for a systematic variation in the macroeconomic effects of a change in the price of oil, in recognition of fundamental developments which have occurred with respect to the structure of the UK economy. Empirical analysis indicates that the accommodation of this characteristic within a VAR model increases both the prominence and the pervasiveness of the impact of an oil price shock.
    Original languageEnglish
    Pages (from-to)273-278
    Number of pages6
    JournalApplied Economics Letters
    Volume17
    Issue number3
    DOIs
    Publication statusPublished - Feb 2009

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