OIL PRICES AND THEIR LONG-TERM RELATIONSHIP WITH MACROECONOMIC AND FINANCIAL INDICATORS
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. T...
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Faculty of Economics, University of Tuzla
2023-05-01
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| Series: | Economic Review |
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| Online Access: | https://www.er.ef.untz.ba/index.php/er/article/view/13 |
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| author | Vesna Bucevska Borjan Gjelevski Lea Matevska |
| author_facet | Vesna Bucevska Borjan Gjelevski Lea Matevska |
| author_sort | Vesna Bucevska |
| collection | DOAJ |
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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.
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| format | Article |
| id | doaj-art-b49f46afbcf8446fa3be3c55b9426800 |
| institution | Kabale University |
| issn | 1512-8962 2303-680X |
| language | English |
| publishDate | 2023-05-01 |
| publisher | Faculty of Economics, University of Tuzla |
| record_format | Article |
| series | Economic Review |
| spelling | doaj-art-b49f46afbcf8446fa3be3c55b94268002025-02-11T00:32:49ZengFaculty of Economics, University of TuzlaEconomic Review1512-89622303-680X2023-05-01211OIL PRICES AND THEIR LONG-TERM RELATIONSHIP WITH MACROECONOMIC AND FINANCIAL INDICATORSVesna Bucevska0Borjan Gjelevski1Lea Matevska2Ss. Cyril and Methodius University in Skopje, Faculty of Economics-Skopje, Republic of North MacedoniaPOLIMI Graduate School of ManagementSs. Cyril and Methodius University in Skopje, Faculty of Economics-Skopje, Republic of North Macedonia 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. https://www.er.ef.untz.ba/index.php/er/article/view/13bitcoingoldoil pricescointegrationVECM |
| spellingShingle | Vesna Bucevska Borjan Gjelevski Lea Matevska OIL PRICES AND THEIR LONG-TERM RELATIONSHIP WITH MACROECONOMIC AND FINANCIAL INDICATORS Economic Review bitcoin gold oil prices cointegration VECM |
| title | OIL PRICES AND THEIR LONG-TERM RELATIONSHIP WITH MACROECONOMIC AND FINANCIAL INDICATORS |
| title_full | OIL PRICES AND THEIR LONG-TERM RELATIONSHIP WITH MACROECONOMIC AND FINANCIAL INDICATORS |
| title_fullStr | OIL PRICES AND THEIR LONG-TERM RELATIONSHIP WITH MACROECONOMIC AND FINANCIAL INDICATORS |
| title_full_unstemmed | OIL PRICES AND THEIR LONG-TERM RELATIONSHIP WITH MACROECONOMIC AND FINANCIAL INDICATORS |
| title_short | OIL PRICES AND THEIR LONG-TERM RELATIONSHIP WITH MACROECONOMIC AND FINANCIAL INDICATORS |
| title_sort | oil prices and their long term relationship with macroeconomic and financial indicators |
| topic | bitcoin gold oil prices cointegration VECM |
| url | https://www.er.ef.untz.ba/index.php/er/article/view/13 |
| work_keys_str_mv | AT vesnabucevska oilpricesandtheirlongtermrelationshipwithmacroeconomicandfinancialindicators AT borjangjelevski oilpricesandtheirlongtermrelationshipwithmacroeconomicandfinancialindicators AT leamatevska oilpricesandtheirlongtermrelationshipwithmacroeconomicandfinancialindicators |