Oil prices, trends and cycles.

Summary The relationship between macroeconomic variables and oil prices has been of great interest to economists for many years. These interactions depend not only on the variables selected, but also on the time horizon considered. The purpose of this thesis is to study the relationships between the price of oil and various macroeconomic and financial variables by considering different time horizons and by using various complementary econometric methodologies. After a historical review of the oil industry since 1860, we study the relationship between the price of oil and the behavior of the member countries of the Organization of the Petroleum Exporting Countries using time series and panel data techniques. Subsequently, the estimation of time-varying VAR models allows us to study the impact of the US dollar exchange rate on the price of Brent. Finally, we analyze the joint movements between commodity prices and oil prices using non-stationary panel data econometrics.