ANALYSIS OF THE INTERACTION BETWEEN CRUDE OIL PRICE AND US STOCK MARKET BASED ON INTERVAL DATA
ANALYSIS OF THE INTERACTION BETWEEN CRUDE OIL PRICE AND US STOCK MARKET BASED ON INTERVAL DATA
复制标题
DOI：
10.1142/s2335680413500063
复制
发表时间：
2013-07
期刊：
影响因子：
--
通讯作者：
Wei Yang;Ai Han;Shouyang Wang
中科院分区：
文献类型：
--
作者：
Wei Yang;Ai Han;Shouyang Wang
本文提出了一个基于区间的模型来研究原油价格与美国股市指数之间的关系。我们将点虚拟变量加入到所提出的基于区间的模型中，以进一步探讨次贷金融危机对这种关系的影响。给出了感兴趣参数的经济意义和假设检验。实证结果表明，美国股市指数在短期内对原油价格存在边际正效应，次贷危机期间也存在这种边际效应。然而，在次贷危机之前，区间原油价格的滞后值对美国股市指数的影响是负面的，而随着次贷金融危机的发生，区间原油价格的滞后值对美国股市指数表现出正的边际效应，这增加了美国股市指数的波动性。
This paper proposes an interval-based model to investigate the relationship between crude oil prices and US stock market indices. We incorporate the point dummy variables with the proposed interval-based model to further explore the impact on this relationship caused by the sub-prime financial crisis. The economic significance and hypothesis tests for the parameters of interest are provided. Empirical results suggest that US stock market indices have a positive marginal effect on the crude oil prices in the short term which also remains during the sub-prime financial crisis. However, the lagged values of interval crude oil prices affect US stock market indices negatively before the sub-prime financial crisis, while the lagged values of interval crude oil prices exhibit a positive marginal effect on US stock market indices accompanied by the occurrence of the sub-prime financial crisis, which increases the volatility of US stock market indices.