Une revue interprétée des élasticités entre le PIB et le prix du pétrole

Dans le contexte du renchérissement du pétrole brut observé depuis six ans, l’objectif de ce texte est d’expliquer la variabilité des élasticités estimées entre le prix du pétrole et le PIB. Nous commencerons par présenter les principaux résultats des analyses réalisées depuis 30 ans en expliquant brièvement les mécanismes théoriques et en reportant de la façon la plus exhaustive possible les élasticités estimées. Nous interpréterons ensuite ces études et leurs conclusions en distinguant d’abord les effets macroéconomiques à court terme et à long terme. Nous verrons ensuite les effets d’un déséquilibre à la hausse du prix du pétrole et ceux d’une hausse de son niveau d’équilibre. Cette analyse permettra de classifier les élasticités publiées selon le type de relation – PIB-prix du pétrole – qu’elles sont censées décrire. Nous commenterons également, pour chaque groupe, la largeur de l’intervalle couvert par les élasticités et nuancerons les conclusions de certaines études.An Interpretative Survey of Oil Price-GDP Elasticities. In the context of rising crude oil prices observed in the last six years, this paper attempts to explain the variability of the estimated oil price-GDP elasticities. We shall begin with a presentation of the main results of the analyses conducted in the last 30 years concerning the impact of energy prices on economic activity by explaining briefly the theoretical mechanisms and by reporting exhaustively the estimated elasticities. We shall then interpret these analyses and their conclusions, by distinguishing first between the short-run macroeconomic effects and the long-run ones, second between the effects of an upward disequilibrium of the oil price and the ones of an upturn in its equilibrium level. This analysis shall let us classify the published elasticities according to the type of oil price-GDP relationship that they are supposed to deal with. For each group, we shall comment as well the width of the band covered by the elasticities and mitigate the conclusions of some studies

Oil prices, tourism income and economic growth: A structural VAR approach for European Mediterranean countries

In this study, a Structural VAR model is employed to investigate the relationship among oil price shocks, tourism variables and economic indicators in four European Mediterranean countries. In contrast with the current tourism literature, we distinguish between three oil price shocks, namely, supply-side, aggregate demand and oil specific demand shocks. Overall, our results indicate that oil specific demand shocks contemporaneously affect inflation and the tourism sector equity index, whereas these shocks do not seem to have any lagged effects. By contrast, aggregate demand oil price shocks exercise a lagged effect, either directly or indirectly, to tourism generated income and economic growth. The paper does not provide any evidence that supply-side shocks trigger any responses from the remaining variables. Results are important for tourism agents and policy makers, should they need to create hedging strategies against future oil price movements or plan for economic policy developments

Structural Change and Convergence of Energy Intensity across OECD Countries, 1970-2005

This paper uses new and unique data derived from a consistent framework of national accounts to compute and evaluate energy intensity developments across 18 OECD countries and 50 sectors over the period 1970-2005. We find that across countries energy intensity levels tend to decrease in most Manufacturing sectors. In the Service sector, energy intensity decreases at a relatively slow rate, with diverse trends across sub-sectors. A decomposition analysis reveals that changes in the sectoral composition of the economy explain a considerable and increasing part of aggregate energy intensity dynamics. A convergence analysis reveals that only after 1995 cross-country variation in aggregate energy intensity levels clearly tends to decrease, driven by a strong and robust trend break in Manufacturing and enhanced convergence in Services. Moreover, we find evidence for the hypothesis that across sectors lagging countries are catching-up with leading countries, with rates of convergence that are on average higher in Services than in Manufacturing. Aggregate convergence patterns are almost exclusively caused by convergence of within-sector energy intensity levels, and not by convergence of the sectoral composition of economies. © 2012 Elsevier B.V

Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment

The time-varying correlation between oil prices returns and European industrial sector indices returns, considering the origin of the oil price shock, is investigated. A time-varying multivariate heteroskedastic framework is employed to test the above hypothesis based on data from 10 European sectors. The contemporaneous correlations suggest that the relationship between sector indices and oil prices change over time and they are industry specific. In addition, the supply-side oil price shocks result in low to moderate positive correlation levels, the precautionary demand oil price shocks lead to almost zero correlation levels, whereas the aggregate demand oil price shocks generate significant changes in the correlation levels (either positive or negative). Both the origin of the oil price shock and the type of industry are important determinants of the correlation level between industrial sectors’ returns and oil prices. Prominent among the results is the fact that during the financial crisis of 2008 some sectors were providing diversification opportunities to investors dealing with the crude oil market

Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries

This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six major oil-importing and oil-exporting countries. The period of the study runs from January 2000 until December 2014 and a Diag-BEKK model is employed. Our findings report the following regularities. (i) The correlation between the oil and stock market volatilities changes over time fluctuating at both positive and negative values. (ii). Heterogeneous patterns in the time-varying correlations are evident between the oil-importing and oil-exporting countries. (iii) Correlations are responsive to major economic and geopolitical events, such as the early-2000 recession, the 9/11 terrorist attacks and the global financial crisis of 2007-2009. These findings are important for risk management practices, derivative pricing and portfolio rebalancing

Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries

In this study, we investigate the financial and monetary policy responses to oil price shocks using a Structural VAR framework. We distinguish between net oil-importing and net oil-exporting countries. Since the 80s, a significant number of empirical studies have been published investigating the effect of oil prices on macroeconomic and financial variables. Most of these studies though, do not make a distinction between oil-importing and oil-exporting economies. Overall, our results indicate that the level of inflation in both net oil-exporting and net oil-importing countries is significantly affected by oil price innovations. Furthermore, we find that the response of interest rates to an oil price shock depends heavily on the monetary policy regime of each country. Finally, stock markets operating in net oil-importing countries exhibit a negative response to increased oil prices. The reverse is true for the stock market of the net oil-exporting countries. We find evidence that the magnitude of stock market responses to oil price shocks is higher for the newly established and/or less liquid stock market

The impact of conventional and unconventional monetary policy on expectations and sentiment

This paper offers, evidence on the effect of ECB’s conventional and unconventional monetary policy on economic expectations in Euro-area countries during the US and EU crisis. We employ a range of research methodologies in a sample of nine Eurozone countries and combine expectations/sentiment indicators with a set of macroeconomic and financial variables. We find that ECB’s conventional monetary policy (and Fed’s monetary policy stance) has a positive and significant effect on economic expectations for Core Eurozone countries and a weak effect on Peripheral Eurozone countries. ECB’s unconventional policy measures, however, have a negative effect on Core countries’ economic expectations. This result is robust to different methodologies (PVAR, QVAR, FAVAR) and different datasets. Overall, our findings highlight the importance of monetary policy in the determination of economic expectations

The Petroleum Market: the Ongoing Oil Price 'Shock' and the Next 'Counter-Shock'

This paper documents that the oil market has a natural tendency to experience an alternation of periods of turbulence and stability because of weak price-elasticities of supply and demand, responsible for the fact that “there is always too much or too little oil” (Watkins, 1937). In particular, it proposes a simple “Econ 101” explanation for the surge in both the level and the volatility of oil prices over the last few years. The analysis shows that despite the 2009 global recession, there still is “too little oil”, therefore the energy crisis is not yet over and the price should rise to new record levels in the mid-term. On the other hand, simulations provide evidence that spare capacities should be built up again in the long-term—that is, there might be “too much oil” again—and hence the nominal price could correct downward and enter a new steady period once sufficient investment is made.Oil prices; supply and demand equilibrium; forecasting and simulation