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• W1964559744 startingPage "271" @default.
• W1964559744 abstract "The aim of this paper is to analyse the causal link between monthly oil futures price changes and a sub-grouping of S&P 500 stock index changes. The causal linkage between oil and stock markets is modelled using a vector autoregressive model with time-varying parameters so as to reflect changes in Granger causality over time. A Markov switching vector autoregressive (MS-VAR) model, in which causal link between the series is stochastic and governed by an unobservable Markov chain, is used for inferring time-varying causality. Although we do not find any lead–lag type Granger causality, the results based on the MS-VAR model clearly show that oil futures price has strong regime prediction power for a sub-grouping of S&P 500 stock index during various sub-periods in the sample, while there is a weak evidence for the regime prediction power of a sub-grouping of S&P 500 stock indexes. The regime-prediction non-causality tests on the MS-VAR model show that both variables are useful for making inference about the regime process and that the evidence on regime-prediction causality is primarily found in the equation describing a sub-grouping of S&P 500 stock market returns. The evidence from the conditional non-causality tests shows that past information on the other series fails to improve the one step ahead prediction for both oil futures and stock returns." @default.
• W1964559744 created "2016-06-24" @default.
• W1964559744 creator A5014189498 @default.
• W1964559744 creator A5088065271 @default.
• W1964559744 date "2013-09-01" @default.
• W1964559744 modified "2023-10-01" @default.
• W1964559744 title "The causal nexus between oil prices and equity market in the U.S.: A regime switching model" @default.
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• W1964559744 doi "https://doi.org/10.1016/j.eneco.2013.04.014" @default.
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