Common cycles and common trends in the stock and oil markets: Evidence from more than 150 years of data

This paper investigates the role of permanent and transitory shocks, within the framework of common cycles and common trends, in explaining stock and oil prices. We perform a multivariate variance decomposition analysis of monthly data on the West Texas Intermediate (WTI) oil price and the S&P50...

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Bibliographic Details
Main Authors: Mehmet Balcilar, Rangan Gupta, Mark Wohar
Format: Default Article
Published: 2017
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Mechanical engineering not elsewhere classified
Oil market
Stock market
Common cycles
Common features
Trend-cycle decomposition
Permanent and transitory shocks
Mechanical Engineering
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/26058
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