Business cycles and oil price fluctuations: Some evidence for six OECD countries

Abstract

The correlations between oil-price movements and GNP/GDP fluctuations are investigated for the United States, Canada, West Germany, Japan, the United Kingdom, and Norway. Asymmetric responses to price increases and decreases are allowed for. Univariate correlations as well as partial correlations within a reduced-form macroeconomic model are considered. The clearest correlations are found for the United States, which also shows evidence of asymmetric responses. West Germany, Canada, and Norway show significant univariate, but not multivariate, correlations with oil price increases. The U.K. correlations are insignificant, and Japan shows no sign of correlation.