Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument
| Main Author: | |
|---|---|
| Language: | English |
| Published: |
Miami University / OhioLINK
2020
|
| Subjects: | |
| Online Access: | http://rave.ohiolink.edu/etdc/view?acc_num=miami1595877677072786 |
| id |
ndltd-OhioLink-oai-etd.ohiolink.edu-miami1595877677072786 |
|---|---|
| record_format |
oai_dc |
| spelling |
ndltd-OhioLink-oai-etd.ohiolink.edu-miami15958776770727862021-08-03T07:16:02Z Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument Perez, Tomas Rene Economics VAR SVAR Vector Autoregression Structural Vector Autoregression Oil Stock Market External Instrument SVAR-IV Returns Oil Price Oil Demand Economics Time Series IRF Impulse Response Function COVID-19 This paper studies the relationship between oil prices and United States stock market from January 1987 to May 2020. It has been documented in previous studies that oil prices cannot be taken as strictly exogenous. Stock market returns and oil prices are endogenously determined. To address this issue, the use of a Structural Vector Autoregression is employed where the target shock is identified using an external instrument. Impulse responses are obtained and disaggregated between the total U.S. market and 11 chosen sectors. The results of the SVAR-IV model are compared with results from a standard SVAR where shocks are identified with Cholesky decomposition. Cumulative impulse responses are taken to illustrate the change in stock market responses over time. The results show that oil prices generally don't have a strong impact on the U.S. stock market. This paper also illustrates the importance of having current data observing the dramatic changes occurring in the U.S. oil market. 2020-07-28 English text Miami University / OhioLINK http://rave.ohiolink.edu/etdc/view?acc_num=miami1595877677072786 http://rave.ohiolink.edu/etdc/view?acc_num=miami1595877677072786 unrestricted This thesis or dissertation is protected by copyright: some rights reserved. It is licensed for use under a Creative Commons license. Specific terms and permissions are available from this document's record in the OhioLINK ETD Center. |
| collection |
NDLTD |
| language |
English |
| sources |
NDLTD |
| topic |
Economics VAR SVAR Vector Autoregression Structural Vector Autoregression Oil Stock Market External Instrument SVAR-IV Returns Oil Price Oil Demand Economics Time Series IRF Impulse Response Function COVID-19 |
| spellingShingle |
Economics VAR SVAR Vector Autoregression Structural Vector Autoregression Oil Stock Market External Instrument SVAR-IV Returns Oil Price Oil Demand Economics Time Series IRF Impulse Response Function COVID-19 Perez, Tomas Rene Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument |
| author |
Perez, Tomas Rene |
| author_facet |
Perez, Tomas Rene |
| author_sort |
Perez, Tomas Rene |
| title |
Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument |
| title_short |
Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument |
| title_full |
Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument |
| title_fullStr |
Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument |
| title_full_unstemmed |
Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument |
| title_sort |
oil price and the stock market: a structural var model identified with an external instrument |
| publisher |
Miami University / OhioLINK |
| publishDate |
2020 |
| url |
http://rave.ohiolink.edu/etdc/view?acc_num=miami1595877677072786 |
| work_keys_str_mv |
AT pereztomasrene oilpriceandthestockmarketastructuralvarmodelidentifiedwithanexternalinstrument |
| _version_ |
1719457491021987840 |