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dc.contributor.advisorRatti, Ronald A.eng
dc.contributor.authorPark, Jung Wook, 1968-eng
dc.date.issued2007eng
dc.date.submitted2007 Springeng
dc.descriptionThe entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file.eng
dc.descriptionTitle from title screen of research.pdf file (viewed on September 28, 2007)eng
dc.descriptionVita.eng
dc.descriptionIncludes bibliographical references.eng
dc.descriptionThesis (Ph. D.) University of Missouri-Columbia 2007.eng
dc.descriptionDissertations, Academic -- University of Missouri--Columbia -- Economics.eng
dc.description.abstractThis dissertation analyze the relationship between oil price shocks and stock market for the US and 13 European countries with monthly data from 1986.1-2005.12. Three countries (Denmark, Norway and the UK) among 13 European countries are oil exporting countries. Unrestricted multivariate Vector Autoregression (VAR) with 4 variables (interest rates, real oil price changes, industrial production and real stock returns) is estimated as well as impulse response function and variance decomposition. With regard to impact of oil price shocks on the stock market, in most oil importing countries oil price shocks have significantly negative effect on the stock market in the same month or in one month, while among oil exporting countries only Norway shows a significantly positive response of real stock returns to oil price shocks. Comparing the impacts of oil price shocks and interest rate (monetary) shocks on the stock market, in most oil importing countries oil price shocks have a greater impact than interest rate shocks, except for a few countries where monetary policy responds systemically to oil price shocks by raising interest rates, which leads to a decline in real stock returns. Therefore, taking into account the response of monetary policy to oil price shocks, oil prices play a crucial role in the stock market of oil importing countries. On the contrary, in oil exporting countries oil price shocks have a smaller impact on the stock market than interest rate shocks, and monetary policy does not respond to the oil price shocks. According to the literature, oil price shocks have an asymmetric effect on economic activity and the stock market in that oil price increases have a greater impact than oil price decreases. However, in this dissertation, the asymmetric pattern is a little different. In the sub-sample period (1996.5-2005.12) when oil price increases more frequently than oil price decreases and the average magnitude of oil price increases is smaller than that of oil price decreases, stock markets in most countries are more influenced by oil price decreases than oil price increases in the variance decomposition analysis. In particular, statistically significant evidence at the 5% level is found that oil price decreases have a greater impact on real stock returns than oil price increases after the mid 1990's in the US.eng
dc.identifier.merlinb59991550eng
dc.identifier.oclc173491908eng
dc.identifier.urihttp://hdl.handle.net/10355/4886
dc.languageEnglisheng
dc.publisherUniversity of Missouri--Columbiaeng
dc.relation.ispartof2007 Freely available dissertations (MU)eng
dc.relation.ispartofcommunityUniversity of Missouri-Columbia. Graduate School. Theses and Dissertations. Dissertations. 2007 Dissertationseng
dc.subject.lcshMonetary policyeng
dc.subject.lcshPetroleum products -- Priceseng
dc.subject.lcshPetroleum industry and trade -- Economic aspectseng
dc.subject.lcshForeign exchangeeng
dc.titleOil price shocks and stock market behavior: empirical evidence for the U.S. and European Countrieseng
dc.typeThesiseng
thesis.degree.disciplineEconomics (MU)eng
thesis.degree.grantorUniversity of Missouri--Columbiaeng
thesis.degree.levelDoctoraleng
thesis.degree.namePh. D.eng


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