The Relationship among Oil Price and Outputs in BRICs

• Main Authors: CHEN-TAI LIU, 劉振泰
• Other Authors: Dr. Mei-Se Chien
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/37635268948327260556

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 98 === This paper investigates the relationship among oil price, industrial production of the BRICs. A variety of time-series methodologies, unit root test, cointegration test, and causality test, error correction models, are applied to investigate the relationship. The empirical results of this study are summarized as follows: First, all of the variables are non-stationary by unit root test. Second, the empirical results of Johensen’s cointegration showed that the cointegration of oil price, industrial production of the BRICs, which implied there is a long-run equilibrium relationship among these variables. Third, according to the results of the error correction model it is unidirectional running from industrial production of the Russia to all of these variables except industrial production of the Brazil, and industrial production of the China leads all of these variables except industrial production of the Russia. There is bi-directional causality between any two of other variables.