Cunado, Juncal; Perez de Gracia, Fernando - In: Energy Economics 42 (2014) C, pp. 365-377
In this paper we examine the impact of oil price shocks on stock returns in 12 oil importing European economies using Vector Autoregressive (VAR) and Vector Error Correction Models (VECM) for the period 1973:02–2011:12. We propose an alternative oil price shock specification that takes into...
