AbstractThe objective of this thesis is to conduct an econometric investigation of the relationship between the price of oil and U.K. macroeconomic performance. For this purpose, quarterly seasonally-adjusted time series have been collected which extend from 1972 to 2008. Empirical results are obtained from the estimation of unrestricted and restricted vector autoregressive models. The conclusions which are reached in this study are founded upon both within- and post-sample analyses of the data.
A considerable amount of research has already been devoted to the subject of the relationship between the price of oil and macroeconomic performance. Within the empirical literature, much attention has been paid to whether the macroeconomic consequences of an increase in the price of oil are symmetrical to those of a decrease. However, a largely neglected issue has been whether or not the effects of an oil price shock are subject to variation over time. The fundamental contribution which is made by this thesis is to rectify this situation through applying suitable extensions to two existing vector autoregressive models.
From the empirical analysis which is subsequently undertaken, it is apparent that spurious results can arise from failing to allow for both the change in the status of the U.K. to a significant exporter of crude oil and the reduction in the intensity with which this commodity is utilised in the production process. In particular, without the recommended augmentations, the importance of past movements in the price of oil to macroeconomic performance would be seriously understated.
|Date of Award||Apr 2013|
|Supervisor||Guy Judge (Supervisor), Mike Snell (Supervisor) & Alan Collins (Supervisor)|