Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?

Abstract

This paper examines the relationship among consumer price index, industrial production, stock market and oil prices in Greece. Initially we use a unified statistical framework (cointegration and VECM) to study the data in levels. We then employ a multivariate VAR model to examine the relationship between the cyclical components of our series. The period of the study is from 1996:1 -2008:6. Findings suggest that oil prices and the stock market exercise a positive effect on the Greek CPI, in the long run. Cyclical components analysis suggests that oil prices exercise significant negative influence to the stock market. In addition, oil prices are negatively influencing CPI, at a significant level. However, we find no effect of oil prices on industrial production and CPI. Finally, no relationship can be documented between the industrial production and stock market for the Greek market. The findings of this study are of a particular interest and importance to policy makers, financial managers, financial analysts and investors dealing with the Greek economy and the Greek stock market.

Dynamic spillovers of oil price shocks and economic policy uncertainty

“…Since the seminal paper by Hamilton (1983), mounting empirical evidence indicates that oil prices exercise a strong negative influence on the economy. More specifically, past evidence suggest that there are significant effects of oil prices on industrial production and inflation (see, inter alia, Filis and Chatziantoniou, 2013;Balke et al, 2010;Tang et al, 2010;Du et al, 2010;Filis, 2010;Peter Ferderer, 1997). Furthermore, authors such as, Rahman and Serletis (2011), Elder and Serletis (2010), Cologni and Manera (2008), Cunado and Pérez de Gracia (2005), Lee et al (1995) and Hamilton (1983) confirm that the US economic activity has been significantly affected by rises in oil prices, as well as, by the uncertainty about future oil price changes.…”

“…On one hand, higher oil prices exert negative impacts on the economy, such as lower productivity and/or higher inflation (see, inter alia, Filis and Chatziantoniou, 2013;Montoro, 2012;Natal, 2012;Rahman and Serletis, 2011;Balke et al, 2010;Elder and Serletis, 2010;Tang et al, 2010;Du et al, 2010;Filis, 2010;Cologni and Manera, 2008;Cunado and Pérez de Gracia, 2005;Peter Ferderer, 1997;Hamilton, 1983). Such economic conditions put pressure on policy makers to mitigate the negative effects of increased oil prices, which in turn, raises concerns regarding the success of these policies.…”

Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries

“…This negative relationship between oil prices and stock returns has also been documented by Filis (2010) (2001) and Gjerde and Saettem (1999). Nandha and Brooks (2009) suggest that the effect of oil prices on stock market returns depends on the country's characteristics and the sector of the economy.…”

Investigating Equilibrium Relationship between Macroeconomic Variables and Malaysian Stock Market Index through Bounds Tests Approach

“…The results found that macroeconomic variables significantly influence stock market indices. However, the VEC equilibrium time-series model applied by others (Adeleke and Gbadebo, 2012;Agrawalla and Tuteja, 2008;Chaudhuri and Smiles, 2004;Filis, 2010;Herve et al, 2011;Hess, 2004;Hosseini et al, 2011;Karacaer and Kapusuzoglu, 2010;Kyereboah and Agyire, 2008;Maysami and Koh, 2000;Muradoglu et al, 2001;Nasseh and Strauss, 2000;Patra and Poshakwale, 2006;Wong et al, 2006) to explore the long-run and short-run equilibrium relationships between macroeconomic variables and stock market indices. These studies revealed that macroeconomic variables significantly change stock market indices.…”