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INTRODUCTION Throughout modern history, oil has played a prominent role in shaping the economic and political developments of industrialized economies. The 199 1 international crisis in the Persian Gulf is a further testimony to the importance of oil. Not surprisingly, a large literature is devoted to the study of energy and its effects on macro-economic variables such as economic stability, economic growth, and international debt. For example, Hamilton (1983) concludes that increases in oil prices are responsible for declines in real GNP. Gilbert and Mork (1984) model the macro effects of an oil supply disruption and survey alternative policy options for dealing with the problem. Mork, Olsen, and Mysen (1 994) assert that â(the negative correlation between oil prices and real output seems, by now, to have been accepted as an empirical fact.â In sharp contrast to the extensive investigation of the macroeconomics of energy issues, little research has been devoted to the We gratefully acknowledge the support of this project by a grant from the New York Mercantile Exchange to the Financial Markets Research Center (FMRC). Additional support was provided by the FMRC and the Deanâs Fund for Research. We have also benefitted from the comments of
The Journal of Futures Markets – Wiley
Published: Feb 1, 1996
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