Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7352080 | Finance Research Letters | 2018 | 14 Pages |
Abstract
We investigate the time-varying long-run correlation of crude oil and U.S. stock markets influenced by the economic policy uncertainty (EPU) index based on the DCC-MIDAS model. We find that EPU has a significant positive influence on the long-run oil-stock correlation. Of the category-specific EPU indices, all have a positive impact on the correlation except the monetary policy uncertainty and national security uncertainty. Moreover, we address that structural changes in the oil-stock correlation can be found during the 2008 global financial crisis.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Libing Fang, Baizhu Chen, Honghai Yu, Cheng Xiong,