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Please use this identifier to cite or link to this item: http://hdl.handle.net/10481/31479

Title: The effect of oil price on industrial production and on stock returns
Authors: Cobo-Reyes, Ramón
Pérez Quirós, Gabriel
Issue Date: 2005
Abstract: This paper analyzes the relationship between oil price shocks and the industrial production and between oil price shocks and the stock returns. The objective is to study which relationship is stronger or which variables reacts more rapidly to changes in oil price. We develop a Markov switching model assuming that there exits a latent variable (the state of the economy) which determines the mean of industrial production and the volatility of stock returns. The reults show that raises in oil price affects in a negative and statistically significant way to stock returns and to industrial production, but the effect on stock returns is stronger than on industrial production.
Publisher: Universidad de Granada. Departamento de Teoría e Historia Económica
Series/Report no.: The Papers;05/18
Keywords: Oil price
Markov switching models
URI: http://hdl.handle.net/10481/31479
Rights : Creative Commons Attribution-NonCommercial-NoDerivs 3.0 License
Citation: Cobo-Reyes, R.; Pérez Quirós, G. The effect of oil price on industrial production and on stock returns. Universidad de Granada. Departamento de Teoría e Historia Económica (2005). (The Papers; 05/18). [http://hdl.handle.net/10481/31479]
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