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Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?
16 references·16 citing·37 second hopsampled
Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? (2010)Macro economy, stock market and oil price…Stock Markets, Banks, and Economic Growth (1999)Stock Markets, Banks, and Eco…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Monetary Policy Rules (1999)Monetary Policy RulesMeasuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)Measuring Business Cycles: Ap…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Stock Markets, Banks, and Economic Growth (1996)Stock Markets, Banks, and Eco…Oil and the Stock Markets (1996)Oil and the Stock MarketsTesting structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Testing structural hypotheses…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Asset returns and inflation (1977)Asset returns and inflationAsymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets (2021)Asymmetric spillover and netw…The impact of oil price shocks on clean energy stocks: Fresh evidence from multi-scale perspective (2020)The impact of oil price shock…COVID-19 and the Oil Price – Stock Market Nexus: Evidence From Net Oil-Importing Countries (2020)COVID-19 and the Oil Price – …The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach (2019)The asymmetric effects of oil…Oil prices and economic policy uncertainty: Evidence from a nonparametric panel data model (2019)Oil prices and economic polic…Forecasting realized volatility of crude oil futures with equity market uncertainty (2019)Forecasting realized volatili…Connectedness of economic policy uncertainty and oil price shocks in a time domain perspective (2019)Connectedness of economic pol…The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method (2018)The dependence and risk spill…Oil price shocks and uncertainty: How stable is their relationship over time? (2018)Oil price shocks and uncertai…Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective (2018)Can economic policy uncertain…Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest (2017)Oil shocks and stock markets:…The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data (2013)The Effects of Oil Price Shoc…Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (2013)Oil and stock returns: Eviden…Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters? (2013)Is there a homogeneous causal…Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries (2013)Financial and monetary policy…Clean energy industries and rare earth materials: Economic and financial issues (2013)Clean energy industries and r…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Comparing alternative tests of causality in temporal systems (1983)This is what happened to the oil price-macroeconomy relationship (1996)What is an Oil Shock? (2000)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)On the mechanics of economic development (1988)A Contribution to the Empirics of Economic Growth (1992)Finance and Growth: Schumpeter Might Be Right (1993)Finance and Growth: Theory and Evidence (2004)Chapter 12 Finance and Growth: Theory and Evidence (2005)Law, finance, and economic growth in China (2005)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Bounds testing approaches to the analysis of level relationships (2001)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)Financial intermediation and growth: Causality and causes (2000)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1996Stock Markets, Banks, and Economic Growth3,889 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1999Stock Markets, Banks, and Economic Growth2,881 cited
  • 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series2,829 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 1999Monetary Policy Rules1,705 cited
  • 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
  • 1996

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Oil and the Stock Markets
1,611 cited

Cited by

  • 2020COVID-19 and the Oil Price – Stock Market Nexus: Evidence From Net Oil-Importing Countries245 cited
  • 2017Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest220 cited
  • 2019Oil prices and economic policy uncertainty: Evidence from a nonparametric panel data model214 cited
  • 2019The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach192 cited
  • 2013The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data186 cited
  • 2013Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment172 cited
  • 2021Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets168 cited
  • 2013Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries162 cited
  • 2019Connectedness of economic policy uncertainty and oil price shocks in a time domain perspective156 cited
  • 2018The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method142 cited
  • 2018Oil price shocks and uncertainty: How stable is their relationship over time?129 cited
  • 2013Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?126 cited
  • 2018Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective120 cited
  • 2013Clean energy industries and rare earth materials: Economic and financial issues118 cited
  • 2020The impact of oil price shocks on clean energy stocks: Fresh evidence from multi-scale perspective115 cited
  • 2019Forecasting realized volatility of crude oil futures with equity market uncertainty112 cited