The aim of this paper is to analyse the causal link between monthly oil futures price changes and a sub-grouping of S&P 500 stock index changes. The causal linkage between oil and stock markets is modelled using a vector autoregressive model with time-varying parameters so as to reflect changes...

One puzzling results in the literature on energy consumption-economic growth causality is the variability of results particularly across sample periods, sample sizes, and model specification. In order overcome these issues this paper analyzes the causal links between energy consumption and...

This paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock-market returns in a sample of eight countries -- Australia, Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. For each country, the...

This paper deals with the analysis of two observed features in historical oil price data; in particular, persistence and cyclicity. Using monthly data from September 1859 to October 2013, we observe that the series presents two peaks in the spectrum, one occurring at the long run or zero...

This paper investigates the effect of oil rents on agriculture value added in oil producing Middle East and North African (MENA) countries. Annual data from 1970 to 2011, panel cointegration tests by Pedroni (1999), long ran panel causality tests by Canning and Pedroni (2008), and two-step...

In this paper, we investigate the dynamic relationship between different oil price shocks and the South African stock market using a sign restriction structural VAR approach for the period 1973:01 to 2011:07. The results show that for an oil-importing country like South Africa, stock returns...

Given the rapid rise and volatility of oil prices, the paper investigates the effect of oil price uncertainty on the South African manufacturing production using monthly observations covering the period 1974:02 to 2012:12. In addition, we quantify the responses of manufacturing production to...

This paper contributes to the debate on the role of oil prices in predicting stock returns. The novelty of the paper is that it considers monthly time-series historical data that span over 150years (1859:10–2013:12) and applies a predictive regression model that accommodates three salient...