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Oil price dynamics : analyses of macro economy & stock markets for ten countries

Visur, Emma Charlotte; Tajamal, Zara
Master thesis
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URI
http://hdl.handle.net/11250/2477731
Date
2017
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  • Master of Science [1116]
Abstract
In this paper, the aim of research is to investigate the effects of oil price upon

economic growth and stock market returns in ten net oil-dependent countries. We

apply four different modifications to crude oil price and use Structural Vector

Autoregressive regressions to examine the relationships and effects of oil price

dynamics.

The present research starts by introducing the topic of oil price, the

macroeconomic variables and the stock markets. Further, some previous studies

on the subject are presented followed by a section where the chosen data set

along with variables are defined. Finally, the characteristics and properties of the

econometric model and the modifications are presented. In result, 8 out of 10

countries showed a significant relationship between the oil price and the GDP

growth whilst only half of the countries showed significant relationship of oil

price and stock market returns across the net oil-dependency.

Key words: Oil prices, macro economy, stock market returns, Structural Vector

Autoregression Model
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017
Publisher
BI Norwegian Business School

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