The relationship between the price of oil and macroeconomic performance: empirical evidence for the UK
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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.
|Number of pages||6|
|Journal||Applied Economics Letters|
|Publication status||Published - Feb 2009|