Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model
文献类型：期刊论文
| 作者 | Jiang, Yong1,2; Wang, Gang-Jin2,3; Ma, Chaoqun2; Yang, Xiaoguang4 |
| 刊名 | INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
 |
| 出版日期 | 2021-03-01 |
| 卷号 | 72页码:1-15 |
| 关键词 | Oil price shocks Stock returns Credit regimes Structure threshold VAR Nonlinear impulse response functions |
| ISSN号 | 1059-0560 |
| DOI | 10.1016/j.iref.2020.10.019 |
| 英文摘要 | This paper aims to examine whether the effect of oil price shocks on the stock market varies across different credit conditions. Based on the U.S. monthly stock data at the aggregate level and industry levels from January 1990 to January 2018, we use a structural threshold vector autoregressive (TVAR) model to investigate reactions of stock returns to oil price shocks under different credit conditions. Our empirical results show that there exists asymmetrical response of U.S. stock returns to crude oil price shocks substantially depends on credit conditions. In particular, oil prices have a negative effect on equity market returns when the U.S. economy is in a normal credit condition, while the relationship is reversed in a tight credit condition. We find (i) that there is no significant difference in the impact of oil prices on stock returns among various industries, and (ii) that the effect of oil price shocks on stock returns is only significant in the short-term rather than in the long-term. |
| 资助项目 | National Natural Science Foundation of China[71871088] ; National Natural Science Foundation of China[71501066] ; National Natural Science Foundation of China[71790593] ; National Natural Science Foundation of China[71850008] ; National Natural Science Foundation of China[71521061] ; Natural Science Foundation of Jiangsu Higher Education Institutions[20KJA120002] ; Department of Science and Technology of Hunan Province[2018GK1020] ; Huxiang Youth Talent Support Program ; Priority Academic Program Development of Jiangsu Higher Education Institutions (Office of Jiangsu Provincial People's Government)[[2018] 87] |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000620678100001 |
| 出版者 | ELSEVIER |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/58233]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wang, Gang-Jin |
| 作者单位 | 1.Nanjing Audit Univ, Sch Finance, Nanjing 211815, Peoples R China 2.Hunan Univ, Business Sch, Changsha 410082, Hunan, Peoples R China 3.Hunan Univ, Ctr Finance & Investment Management, Changsha 410082, Hunan, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Jiang, Yong,Wang, Gang-Jin,Ma, Chaoqun,et al. Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE,2021,72:1-15. |
| APA | Jiang, Yong,Wang, Gang-Jin,Ma, Chaoqun,&Yang, Xiaoguang.(2021).Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model.INTERNATIONAL REVIEW OF ECONOMICS & FINANCE,72,1-15. |
| MLA | Jiang, Yong,et al."Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model".INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 72(2021):1-15. |
入库方式： OAI收割
来源：数学与系统科学研究院
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