The recent financial crisis has made (il)liquidity research more significant than ever. Galariotis and Giouvris (Int Rev Financ Anal 38:44–69, 2015) find evidence that market liquidity may contain information for predicting the state of the economy. Similar to (il)liquidity, oil is an important indicator of the future state of the economy (GDP). We consider five predictive variables, namely national/global illiquidity, foreign exchange, Baltic Dry, and oil. Our findings show that (1) global illiquidity provides greater overall explanatory power compared to national illiquidity (even for developed oil exporters: Norway, Canada, and Denmark). (2) Oil is the most important predictive variable for oil exporters (especially for emerging oil exporters suggesting over-reliance), while Baltic Dry appears to be more important for oil importers. (3) FX has extra power over financial variables mainly for emerging oil exporters. Finally, there is a two-way causality between GDP and our predictive variables: (4) For oil exporters, the two-way causality between oil and GDP remains, while for net oil importers, we observe a one-way causality from GDP to oil.

中文翻译：

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石油、波罗的海干散货指数、市场（非）流动性和商业周期：来自石油净出口国/石油进口国的证据

最近的金融危机使（il）流动性研究比以往任何时候都更加重要。Galariotis 和 Giouvris（Int Rev Financ Anal 38:44–69, 2015）发现证据表明市场流动性可能包含用于预测经济状况的信息。与（il）流动性类似，石油是未来经济状况（GDP）的重要指标。我们考虑五个预测变量，即国家/全球流动性不足、外汇、波罗的海干散货和石油。我们的研究结果表明，(1) 与国家流动性不足相比，全球流动性不足提供了更大的整体解释力（即使对于发达的石油出口国：挪威、加拿大和丹麦）。(2) 石油是石油出口国最重要的预测变量（特别是对于新兴石油出口国表明过度依赖），而波罗的海干油似乎对石油进口国更为重要。(3) 外汇对金融变量具有额外的影响力，主要针对新兴石油出口国。最后，GDP 与我们的预测变量之间存在双向因果关系：(4) 对于石油出口国，石油与 GDP 之间的双向因果关系仍然存在，而对于石油净进口国，我们观察到从 GDP 到 GDP 之间的双向因果关系。油。