Three Essays on Oil Price-Related Issues
| Autor: | Bi-Juan Lee, 李碧娟 |
|---|---|
| Rok vydání: | 2010 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 98 This dissertation is composed of three essays relating the oil price changes to implications for inflation and stock returns. The first essay applies Mork’s asymmetrical techniques and segments monthly data into three periods based on historical oil events to examine the transmission from oil price changes to inflation in 29 countries. The results indicate that a majority of countries support long-run asymmetric responses of inflation to real oil price increases and decreases, but they are nearly in linear relation in the three shorter periods. Based on the results of different sub-periods, we find that the responses of inflation to oil price changes are generally higher in Period I (pre-1986:12) than in Period II (1987:01-1998:12) or in Period III (post-1999:01), which is in accord with actual observation. The second essay asks whether inflation targeting improves the behavior of inflation performance to the shocks of real oil prices for advanced economies and developing countries. To be more specific, we also separate the real oil price changes into positive and negative in order to derive a more sensible result. The results show that inflation targeters can hardly improve inflation performance in the shocks of real oil prices relative to their own pre-inflation targeting regimes. Further, our evidence generally suggests that inflation targeting countries have not attained better policy performance in comparison with the non-targeters. The third essay investigates the impact of oil price changes on stock returns regarding the market and the individual sector levels for eight countries. The empirical results illustrate that oil prices can lead materials and transportation sector indices for each examined country. The impulse response analysis indicates that a positive oil price shock depresses real stock returns in the material sector, the transportation sector, the financial sector, the consumer staple sector, and the industrial sector. In contrary, a positive oil price shock stimulates energy sector stock returns. Overall, the significant relationship between oil prices and sector stocks is useful to the portfolio investors who can exploit this relation to increase their diversification or hedging for oil price changes. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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