Long-run commodity prices, economic growth, and interest rates: 17th century to the present day

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:	David I. Harvey, Neil M. Kellard, Jakob B. Madsen, Mark Wohar
Format:	Default Article
Published:	2017
Subjects:	Other commerce, management, tourism and services not elsewhere classified Other economics not elsewhere classified Oil market Stock market Common cycles Common features Trend-cycle decomposition Permanent and transitory shocks Economics Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/26059
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