• français
    • English
  • English 
    • français
    • English
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.
BIRD Home

Browse

This CollectionBy Issue DateAuthorsTitlesSubjectsJournals BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesSubjectsJournals

My Account

Login

Statistics

View Usage Statistics

Oil price and financial markets: Multivariate dynamic frequency analysis

Thumbnail
Date
2014
Dewey
Economie de la terre et des ressources naturelles
Sujet
Oil prices; Stock markets; Evolutionary co-spectral analysis
JEL code
Q.Q4.Q43; Q.Q4.Q41
Journal issue
Energy Policy
Volume
73
Publication date
10-2014
Article pages
245-258
Publisher
Elsevier
DOI
http://dx.doi.org/10.1016/j.enpol.2014.05.057
URI
https://basepub.dauphine.fr/handle/123456789/13716
Collections
  • LEDa : Publications
Metadata
Show full item record
Author
Creti, Anna
163511 Laboratoire d'Economie de Dauphine [LEDa]
Ftiti, Zied
status unknown
Guesmi, Khaled
224794 IPAG Lab [IPAG Lab]
2564 EconomiX
Type
Article accepté pour publication ou publié
Abstract (EN)
The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importers and oil-exporters. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the stock market index and the oil price series. We use the frequency approach proposed by Priestley and Tong (1973), that is the evolutionary co-spectral analysis. This method allows us to distinguish between short-run and medium-run dependence. In order to complete our study by analysing long-run dependence, we use the cointegration procedure developed by Engle and Granger (1987). We find that interdependence between the oil price and the stock market is stronger in exporters׳ markets than in the importers׳ ones.

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Content on this site is licensed under a Creative Commons 2.0 France (CC BY-NC-ND 2.0) license.