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A comparative analysis of monetary responses to global oil price changes: net oil producing vs. net oil consuming countries

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Abstract

In this paper, we examine monetary responses to global oil price changes across a panel of seven major net oil consuming countries and three major net oil producing countries using monthly data from January 1986 to August 2013. Employing a variety of linear and nonlinear causality tests, our main findings are as follows. First, oil price movements directly affect monetary aggregates in both net oil consuming and net oil producing countries. Second, nonlinear causality tests reveal strong causal influences from oil prices to monetary aggregates. Third, nonlinear parametric and nonparametric models reveal oil price changes account for significant changes in monetary aggregates in Denmark, Germany, the Netherlands, and the US among net oil consuming countries and in Canada and Mexico among net oil producing countries. Finally, monetary aggregates in these countries respond nonlinearly only to oil price increases.

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Authors and Affiliations

  1. Department of Accounting, Finance and Economics, Griffith Business School, Griffith University, Brisbane, QLD, Australia

    M-Ali Sotoudeh & Andrew C. Worthington

  2. Department of Economics, University of Sistan and Baluchestan, Zahedan, Iran

    M-Ali Sotoudeh

Authors
  1. M-Ali Sotoudeh
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  2. Andrew C. Worthington
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Correspondence to M-Ali Sotoudeh.

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Sotoudeh, MA., Worthington, A.C. A comparative analysis of monetary responses to global oil price changes: net oil producing vs. net oil consuming countries. Int Econ Econ Policy 13, 623–640 (2016). https://doi.org/10.1007/s10368-015-0315-1

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