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https://ruomo.lib.uom.gr/handle/7000/1291
Title: | Oil and the U.S. stock market: Implications for low carbon policies |
Authors: | Arampatzidis, Ioannis Dergiades, Theologos Kaufmann, Robert K. Panagiotidis, Theodore |
Type: | Article |
Subjects: | FRASCATI::Social sciences::Economics and Business::Economics FRASCATI::Social sciences::Economics and Business::Econometrics |
Keywords: | Stock markets Oil shocks Rolling SVAR U.S. industries Carbon tax |
Issue Date: | 2021 |
Source: | Energy Economics |
Volume: | 103 |
First Page: | 105588 |
Abstract: | We extend the existing understanding of the relation between oil prices and stock markets in two ways: (1) by evaluating the effects of the oil market on the U.S. stock market, at an aggregate level and for all forty-nine U.S. industry specific portfolios, and (2) by scrutinizing the dynamic nature of this relation within a Structural Vector Autoregression (SVAR) specification for a large set of rolling samples with fixed size. Results indicate that the effect of oil prices on the U.S. stock market depends on the type and timing of the shock. An oil supply shock generally does not have a statistically measurable effect on stock market performance. Conversely, an aggregate demand shock has a positive effect on nearly all sectors while an oil-specific demand shock has a negative effect on stock returns for most industries. These results suggest that investors can shift the portfolios consistent with smaller effects of oil-related shocks and the costs of carbon taxes and/or tradeable permits may be smaller than commonly thought if stock prices represent the net present value of profits. |
URI: | https://doi.org/10.1016/j.eneco.2021.105588 https://ruomo.lib.uom.gr/handle/7000/1291 |
ISSN: | 0140-9883 |
Other Identifiers: | 10.1016/j.eneco.2021.105588 |
Appears in Collections: | Department of International and European Studies |
Files in This Item:
File | Description | Size | Format | |
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EE_2021.pdf Until 2024-11-01 | EE | 15,71 MB | Adobe PDF | View/Open Request a copy |
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