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Abstract(s)
A interação entre as variáveis preços do petróleo WTI, preços do ouro, taxa de juro LIBOR,
agregado monetário M1 e a taxa de inflação é testada para os Estados Unidos da América. Em
resultado da oscilação dos preços e de uma forte taxa de importação de petróleo é avaliado o
impacto que os preços deste recurso energético têm na atividade económica do país. A
relação de causalidade entre as variáveis é também testada. Os dados utilizados são mensais
e cobrem o período de Janeiro de 1986 a Setembro de 2014. A escolha do horizonte temporal
recaiu no facto de este ser controverso na literatura onde a Guerra do Golfo e a crise do
subprime provocaram maiores oscilações dos preços reais do petróleo. Para a deteção de
efeitos anómalos nas séries recorreu-se á utilização do processo Census X-13, ajudando a uma
melhor modelização do modelo vetorial de correção dos erros. A causalidade Granger,
variância de decomposição e função de impulso resposta foram mecanismos utilizados na
discussão dos resultados. Todas as variáveis á exceção dos preços do ouro e da taxa de juro
LIBOR revelaram-se endógenas. Foi ainda detetada causalidade de Granger bidirecional entre
as variáveis inflação e agregado monetário e causalidade unidirecional entre preços do
petróleo e a inflação, entre a inflação e o Índice de Produção Industrial e entre o agregado
monetário e o Índice de Produção Industrial. Os resultados indicam que a inflação pode ser o
principal canal entre os quais os preços do petróleo afetam a atividade económica.
The interaction between oil price WTI, gold price, Libor interest rate, and monetary aggregate M1 and inflation rate variables is tested for the United States of America. As result of the price oscillation and a strong oil importation rate, the impact of the price of this energetic resource on the economic activity of the country is evaluated. The used data is monthly and covers the period of January 1986 and September 2014. This choice was based since this is a controversial timeline in literature, where the Golf War and the Subprime crisis provoked higher oscillations of the real oil prices. For the detection of anomalous effects in the series the process Census X-13 was used, aiding to a better modelling of the vector model of error correction. The Granger causality, decomposition variance and impulse response function where mechanisms used in the results discussion. All the variables with the exception of gold prices and Libor interest rate revealed to be endogenous. Bidirectional Granger causality was detected between the inflation and monetary aggregate. A unidirectional causality was detected between oil prices and inflation, between inflation and industrial production index and between the monetary base and industrial production index. The results indicate that the inflation is the principal channel through which the oil prices affect the economic activity.
The interaction between oil price WTI, gold price, Libor interest rate, and monetary aggregate M1 and inflation rate variables is tested for the United States of America. As result of the price oscillation and a strong oil importation rate, the impact of the price of this energetic resource on the economic activity of the country is evaluated. The used data is monthly and covers the period of January 1986 and September 2014. This choice was based since this is a controversial timeline in literature, where the Golf War and the Subprime crisis provoked higher oscillations of the real oil prices. For the detection of anomalous effects in the series the process Census X-13 was used, aiding to a better modelling of the vector model of error correction. The Granger causality, decomposition variance and impulse response function where mechanisms used in the results discussion. All the variables with the exception of gold prices and Libor interest rate revealed to be endogenous. Bidirectional Granger causality was detected between the inflation and monetary aggregate. A unidirectional causality was detected between oil prices and inflation, between inflation and industrial production index and between the monetary base and industrial production index. The results indicate that the inflation is the principal channel through which the oil prices affect the economic activity.
Description
Keywords
Atividade Económica Causalidade Granger Census X-13 Preços do Petróleo Vec