 Oil price uncertainty and the U.S. stock market analysis based on a GARCH-in-mean VAR modelZeina Alsalman Energy Economics, 2016, vol. 59, issue C, 251-260 Abstract: This paper uses a bivariate GARCH-in-mean VAR model to examine the effect of oil price uncertainty on the U.S. real stock returns at the aggregate and sectoral levels. Estimation results suggest that there is no statistically significant effect of oil price volatility on the U.S. stock returns. The absence of an uncertainty effect might be explained by the fact that companies are likely to hedge against fluctuations in oil prices. It could also stem from the ability of most companies to transfer the higher cost of oil to customers. Moreover, the impulse responses indicate that, accounting for oil price uncertainty, oil price increases and decreases have symmetric effects on the U.S. aggregate stock returns, in that energy price increases and decreases are estimated to have equal and opposite effects on the U.S. financial market. However, this symmetric effect doesn't hold across all the sectors studied in this paper. Keywords: Uncertainty in oil prices; U.S. stock returns; Asymmetric responses (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:59:y:2016:i:c:p:251-260 DOI: 10.1016/j.eneco.2016.08.015 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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