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This paper examines the informational efficiency of crude oil spot and futures markets with respect to OPEC conference and U.S. Strategic Petroleum Reserve (SPR) announcements. We employ the event study methodology to examine the abnormal returns in crude oil spot and futures markets around OPEC...
Persistent link: https://www.econbiz.de/10008863764
The aim of this paper is to analyse the causal link between monthly oil futures price changes and a sub-grouping of S&P 500 stock index changes. The causal linkage between oil and stock markets is modelled using a vector autoregressive model with time-varying parameters so as to reflect changes...
Persistent link: https://www.econbiz.de/10010868722
One puzzling results in the literature on energy consumption-economic growth causality is the variability of results particularly across sample periods, sample sizes, and model specification. In order overcome these issues this paper analyzes the causal links between energy consumption and...
Persistent link: https://www.econbiz.de/10008863788