Effect of Oil Price Shocks in the U.S. for 1985-2004, using VAR, Mixed Dynamic and Granger Causality Approaches
This paper uses bivariate VAR, Mixed Dynamic and Granger Causality Approaches, to analyze the news effect of oil prices on the stock market index in the U.S during the recent oil price hikes from the late eighties up to date. All used models show similar evidence. They suggest that oil shock negatively affect the stock market returns in the U.S. Oil prices granger cause movements in the stock market index. The Stock market index will absorb the information of oil price shocks and incorporate it into the stock price instantaneously. Oil price shocks have an immediate negative effect on the U.S stock market.
Volume (Year): 5 (2005)
Issue (Month): 3 ()
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