Oil Price, Stock Price, and Economic Activity:

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概要

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• This paper empirically investigates the dynamic relationship between the three variables of oil price, stock price, and real economic activity in China and Japan. We execute this approach based on a monthly time series from 1992:1 to 2008:9 and using a vector autoregressive (VAR) model with cointegration and variance decomposition analysis. The results of the cointegration analysis suggest that there is no long-run equilibrium relationship among oil price, stock price, and real economic activity in either China or in Japan. Moreover, the results of variance decomposition analysis in the short run have shown that there is lack of evidence to confirm that there is a close relationship among real economic activity, stock price and oil price either in China or in Japan.These findings tend to indicate that oil price and stock price are not important factors of economic activity in China and Japan.

著者

• Guo Jin

  摂南大学経済学部

関連論文

• Oil Price, Stock Price, and Economic Activity:

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