Counterfactual shock in energy commodities affects stock market dynamics: Evidence from the United States
TLDR
In this article, the authors investigated the long-term relationship between real stock index and energy commodity prices in the US and found negative long-run relationship between energy commodities and stock market.About:
This article is published in Resources Policy.The article was published on 2021-08-01 and is currently open access. It has received 9 citations till now. The article focuses on the topics: Stock market index & Stock market.read more
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COVID-19 Pandemic Improves Market Signals of Cryptocurrencies––Evidence from Bitcoin, Bitcoin Cash, Ethereum, and Litecoin
TL;DR: In this article, the authors empirically and structurally investigated the implication of COVID-19 health outcomes on market prices of Bitcoin, Bitcoin Cash, Ethereum, and Litecoin.
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New Insights into the US Stock Market Reactions to Energy Price Shocks
TL;DR: Cho et al. as discussed by the authors investigated the relationship between S&P 500 prices and a set of energy prices, including WTI, gasoline, heating, diesel and natural gas prices, using the Quantile Autoregressive Distributed Lags (QARDL) model.
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COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility.
TL;DR: In this paper, the authors investigated the switching effect of COVID-19 pandemic and economic policy uncertainty on commodity prices and found that most commodities are responsive to historical price in terms of demand and supply in both volatility regimes.
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Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA
TL;DR: In this article , the authors analyzed the interlinkages and the return spillover effect among gold, crude oil, S&P 500, dollar exchange rate, Consumer Price Index (CPI), economic policy uncertainty and Treasury bills.
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Effects of possible changes in natural gas, nuclear, and coal energy consumption on CO2 emissions: Evidence from France under Russia’s gas supply cuts by dynamic ARDL simulations approach
TL;DR: In this article , the influence of potential changes in energy consumption on carbon dioxide (CO2) emissions, focusing on disaggregated energy consumption sources, is explored, and the results reveal that cointegration exists between energy consumption indicators and CO2 emissions.
References
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Bounds testing approaches to the analysis of level relationships
TL;DR: In this paper, the authors developed a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary.
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Likelihood ratio statistics for autoregressive time series with a unit root
David A. Dickey,Wayne A. Fuller +1 more
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The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
TL;DR: In this paper, the authors consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is "trend-stationary" and show how standard tests of the unit root hypothesis against trend stationary alternatives cannot reject the unit-root hypothesis if the true data generating mechanism is that of stationary fluctuations around a trend function which contains a one-time break.
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Oil and the Macroeconomy since World War II
TL;DR: The authors found that all but one of the U.S. recessions since World War II have been preceded, typically with a lag of around three-fourths of a year, by a dramatic increase in the price of crude petroleum.
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Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
Lutz Kilian,Lutz Kilian +1 more
TL;DR: In this paper, a structural decomposition of the real price of crude oil in four components is proposed: oil supply shocks driven by political events in OPEC countries; other oil supply shock; aggregate shocks to the demand for industrial commodities; and demand shocks that are specific to the crude oil market.
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