Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?

Filis, G., 2010. Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? Energy Economics, 32 (4), 877 - 886 .

Full text available as:

[img]
Preview
PDF
Energy Economics_GF.pdf

520kB

DOI: 10.1016/j.eneco.2010.03.010

Abstract

This paper examines the relationship among consumer price index, industrial production, stock market and oil prices in Greece. Initially we use a unified statistical framework (cointegration and VECM) to study the data in levels. We then employ a multivariate VAR model to examine the relationship between the cyclical components of our series. The period of the study is from 1996:1 – 2008:6. Findings suggest that oil prices and the stock market exercise a positive effect on the Greek CPI, in the long run. Cyclical components analysis suggests that oil prices exercise significant negative influence to the stock market. In addition, oil prices are negatively influencing CPI, at a significant level. However, we find no effect of oil prices on industrial production and CPI. Finally, no relationship can be documented between the industrial production and stock market for the Greek market. The findings of this study are of a particular interest and importance to policy makers, financial managers, financial analysts and investors dealing with the Greek economy and the Greek stock market.

Item Type:Article
ISSN:0140-9883
Uncontrolled Keywords:Cyclical components, VAR, Oil prices, Macroeconomic indicators, Stock market
Subjects:UNSPECIFIED
Group:Business School
ID Code:20579
Deposited By: Unnamed user with email symplectic@symplectic
Deposited On:23 Jan 2013 13:00
Last Modified:16 Jun 2014 13:45

Downloads

Downloads per month over past year

More statistics for this item...
Repository Staff Only -