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Oil Prices And Their Long-Term Relationship With Macroeconomic And Financial Indicators

Author

Listed:
  • Vesna Bucevska

    (Ss. Cyril and Methodius University in Skopje, Faculty of Economics-Skopje, Republic of North Macedonia)

  • Borjan Gjelevski

    (POLIMI Graduate School of Management, Italy)

  • Lea Matevska

    (Ss. Cyril and Methodius University in Skopje, Faculty of Economics-Skopje, Republic of North Macedonia)

Abstract

The objective of this paper is to find out whether there is a long-term relationship or in other words cointegration, between the prices of oil futures and the following factors: the consumer price index (CPI), the exchange rate of the USD to the EUR, the prices of gold, and the price of Bitcoin. This research was conducted using monthly data, extracted from both Refinitiv and Yahoo Finance, in the period 2014-2022. In order to find the cointegrating relationship between the above mentioned variables, the Johansen test was used, after which, the Vector Error Correction Model (VECM) system was composed to formulate a set of equations that explain all the variables. The results of this research show that only one cointegrating relationship exists between the previously mentioned variables. Namely, in a state of long-term equilibrium, only the prices of gold have a statistically significant effect on oil prices.

Suggested Citation

  • Vesna Bucevska & Borjan Gjelevski & Lea Matevska, 2023. "Oil Prices And Their Long-Term Relationship With Macroeconomic And Financial Indicators," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, vol. 21(1), pages 3-24, May.
    • Handle: RePEc:tuz:journl:v:21:y:2023:i:1:p:3-24
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    bitcoin; gold; oil prices; cointegration; VECM;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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