Uncovering the time-varying nature of causality between oil prices and stock market returns : a multi-country study

We study the relation between oil prices and stock market returns for a set of six countries, including important oil consumers and demanders. We study interconnectedness between oil and stock markets and characterize the dynamics of transmission and reception between them. We test for Granger causa...

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Detalles Bibliográficos
Autores Principales: Gómez-González, José Eduardo, Hirs-Garzón, Jorge
Formato: Documento de trabajo (Working Paper)
Lenguaje:Inglés (English)
Publicado: Banco de la República de Colombia 2017
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/6322