The Effects of Oil Price on Macroeconomic Variables in Oil Exporting and Oil Importing Countries

摘要

The aim of this paper is to analyse the causal relationship between oil price and the macroeconomy for a large number of countries including both oil exporting and oil importing countries. To this end, four macroeconomic variables namely gross domestic product, consumer price index, unemployment and interest rates, were considered. After testing for stationarity we implemented Granger causality tests both pairwise and in a panel context to detect the effects of oil prices on those variables over the short run. When the interactions were analysed country by country, few cases reported causality and it generally ran from the macroeconomic variable to oil price except for the case of unemployment. Furthermore, it is worth noting that according to our results most of the cases where causality was obtained corresponded to the group of oil importing countries. In addition, the results provided by the panel analysis support those obtained from the pairwise study. In general, the empirical evidence fails to reject the null hypothesis of no causality running from oil price to each one of the macroeconomic variables under analysis.