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Does the price of oil interact with clean energy prices in the stock market?

Managi, Shunsuke; Okimoto, Tatsuyoshi

Description

In this paper, we analyze the relationships among oil prices, clean energy stock prices, and technology stock prices, endogenously controlling for structural changes in the market. To this end, we apply Markov-switching vector autoregressive models to the economic system consisting of oil prices, clean energy and technology stock prices, and interest rates. The results indicate that there was a structural change in late 2007, a period in which there was a significant increase in the price of...[Show more]

CollectionsANU Research Publications
Date published: 2013
Type: Journal article
URI: http://hdl.handle.net/1885/29561
Source: Japan and the World Economy
DOI: 10.1016/j.japwor.2013.03.003

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