The Exposure of European Union Productive Sectors to Oil Price Changes

Abstract

Oil is one of the most important products in the world, being used for fuel production but also as an input in several industries. After the oil shocks of the 1970s, which caused great turbulence, the interest in the analysis of this particular product grew. The analysis of the comovements between oil and other assets became a hot topic. In this study, we propose an analysis of how oil price correlates with several industry indexes. The detrended cross-correlation analysis coefficient ( ρ DCCA ) is used, with data from 1992 to 2019, and we analyze not only the correlation between oil and several Euro Stoxx indexes during the whole sample, but also how that correlation evolved for the different decades (1990s, 2000s and 2010s). Naturally, oil and gas are the sectors that correlate the most with crude oil, with correlation coefficients reaching levels higher than 0.6 in some cases. However, the results also indicate that all sectors are now more exposed to oil price variations than in the past, with the financial sector as one of the sectors with the greatest increase in correlation.