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Oil and the economy: A cross bicorrelation perspective

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  • Romero-Meza, Rafael
  • Coronado, Semei
  • Serletis, Apostolos

Abstract

In this paper, we use a cross bicorrelation test to study the relationship between the real price of oil and industrial production in the United States. We find evidence of nonlinearity, for different window frames, over the period from February 1974 to May 2013. Interestingly we find evidence of nonlinearity in two periods that coincide with periods of economic or political instability. Furthermore, we find that in both cases the price of oil leads U.S. industrial production. These findings are important, because they complement the existing literature regarding the existence of a nonlinear and asymmetric relationship between the oil price and economic activity.

Suggested Citation

  • Romero-Meza, Rafael & Coronado, Semei & Serletis, Apostolos, 2014. "Oil and the economy: A cross bicorrelation perspective," The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 91-95.
    • Handle: RePEc:eee:joecas:v:11:y:2014:i:c:p:91-95
    DOI: 10.1016/j.jeca.2014.08.003
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    Cited by:

    1. Patterson C. Ekeocha & Dinci J. Penzin & Jonathan Emenike Ogbuabor, 2020. "Energy Consumption and Economic Growth in Nigeria: A Test of Alternative Specifications," International Journal of Energy Economics and Policy, Econjournals, vol. 10(3), pages 369-379.
    2. Semei Coronado & Omar Rojas, 2016. "A study of co-movements between oil price, stock index and exchange rate under a cross-bicorrelation perspective: the case of Mexico," Papers 1602.03271, arXiv.org.
    3. Monica Dudian & Mihaela Mosora & Cosmin Mosora & Stefanija Birova, 2017. "Oil Price and Economic Resilience. Romania’s Case," Sustainability, MDPI, vol. 9(2), pages 1-8, February.
    4. Nonejad, Nima, 2020. "Crude oil price changes and the United Kingdom real gross domestic product growth rate: An out-of-sample investigation," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    5. Chelghoum, Amirouche & Boumimez, Fayçal & Alsamara, Mouyad, 2023. "Asymmetric effects of oil price shocks on the demand for money in Algeria," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 1-11.

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