| dc.description.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 | nb_NO |
