Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/127345 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
Discussion Paper Series No. 525
Verlag: 
University of Heidelberg, Department of Economics, Heidelberg
Zusammenfassung: 
Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy. We find that variables which contain information on current and future economic activity are helpful predictors for changes in the oil-stock correlation. For the period 1993-2011 there is strong evidence for a counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above trend our model predicts a negative long-term correlation, while before and during recessions the sign changes and remains positive throughout the economic recovery. Our results strongly suggest that crude oil prices cannot be viewed as being exogenous with respect to the U.S. macroeconomy and explain the controversial results concerning the oil-stock relationship in previous studies.
Schlagwörter: 
Oil-stock relationship
long-term volatility
long-term correlation
GARCH-MIDAS
DCC-MIDAS
JEL: 
C32
C58
Q43
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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