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dc.contributor.authorCobo-Reyes, Ramón
dc.contributor.authorPérez Quirós, Gabriel
dc.date.accessioned2014-04-30T08:30:12Z
dc.date.available2014-04-30T08:30:12Z
dc.date.issued2005
dc.identifier.citationCobo-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]es_ES
dc.identifier.urihttp://hdl.handle.net/10481/31479
dc.description.abstractThis 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.es_ES
dc.language.isoenges_ES
dc.publisherUniversidad de Granada. Departamento de Teoría e Historia Económicaes_ES
dc.relation.ispartofseriesThe Papers;05/18
dc.rightsCreative Commons Attribution-NonCommercial-NoDerivs 3.0 Licensees_ES
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es_ES
dc.subjectOil pricees_ES
dc.subjectMarkov switching modelses_ES
dc.titleThe effect of oil price on industrial production and on stock returnses_ES
dc.typereportes_ES
dc.rights.accessRightsopen accesses_ES


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