OilPriceShocksandtheU.SStockMarketTahmouresA.Afshar,WoodburyUniversity,USAGhodratollahArabian,LincolnUniversity,USARezaZomorrodian,IslamicAzadUniversity,IranABSTRACTThispaperempiricallyinvestigates,inthecontextofvectorautoregressionandGranger-Causalitymethodology,thedynamicrelationshipbetweenthreemeasuresofoilpriceshocks,...
We study the response of US stock market returns to oil price shocks and to what extent it behaves asymmetrically over the different phases of the business cycle. For this purpose, we decompose the oil price changes into supply and demand shocks in the oil market and assess the state-...
stock market ∗ Abstract A recent paper by Bernanke, Gertler, and Watson (1997) suggests that monetary policy could be used to eliminate any recessionary consequences of a... THE Impact,OF Oil,P Shocks,... 被引量: 1066发表: 2009年 DO ENERGY PRICES RESPOND TO U.S. MACROECONOMIC NEWS?
Thus, in contrast to the conventional wisdom, a rise in oil price is not always bad news for the Japanese stock market. On the other hand, the Japanese stock market reacts negatively to oil price increases related to oil-market specific demand shocks. Finally, different from prior research ...
oilshocksstockpricemarketimpact FederalReserveBankofDallasGlobalizationandMonetaryPolicyInstituteWorkingPaperNo.249http://.dallasfed/assets/documents/institute/wpapers/2015/0249.pdfTheImpactofOilPriceShocksontheU.S.StockMarket:ANoteontheRolesofU.S.andNon-U.S.OilProduction*WenshengKangKentStateUniversityRonaldA...
The dynamic impact of oil price shocks on stock market returns has attracted considerable attention in the recent literature. In an influential paper, Kilian and Park (2009) found that the response of US aggregate stock returns to oil price shocks greatly depends on the cause of such shocks, ...
economy. In these last four oil shocks, the ISM index of non-services activity plunged below 50 and was followed by recession. That index in February was at 58.6, a much higher starting point than the average 52.3 over the previous four episodes. Most economists still expect U.S. gross ...
Oil price shocks, exchange rate dynamics and stock market behaviour : empirical evidence from Nigeria This thesis explores the relationship between oil price shocks, exchange rate dynamics and stock market behaviour in Nigeria using a variety of econometric specifications. The response of exchange rates...
A mixture innovation time-varying parameter VAR model is used to examine the impact of structural oil price shocks on U.S. stock market return. Time variation is evident in both the coefficients and the variance–covariance matrix. The standard deviations of the demand side structural shocks reach...
This shows that the Malaysian market is inefficient and very sensitive to the oil price fluctuations. In addition, the findings showed there is a long run asymmetric link between oil price shocks, interest rate, exchange rate, industrial production, inflation and stock market returns at both ...