文章基本信息

标题：On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation
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作者：Christian Conrad ; Karin Loch ; Daniel Rittler 等
期刊名称：Discussion Paper Series / Universität Heidelberg, Department of Economics
出版年度：2012
卷号：2012
出版社：Universität Heidelberg, Department of Economics
摘要：Using a modified DCC-MIDAS specification, we endogenize the long-term cor-relation between crude oil and stock price returns with respect to the stance of theU.S. macroeconomy. We find that variables which contain information on currentand future economic activity are helpful predictors for changes in the oil-stock cor-relation. For the period 1993-2011 there is strong evidence for a counter cyclicalbehavior of the long-term correlation. For prolonged periods with strong growthabove trend our model predicts a negative long-term correlation, while before andduring recessions the sign changes and remains positive throughout the economicrecovery. Our results strongly suggest that crude oil prices cannot be viewed as be-ing exogenous with respect to the U.S. macroeconomy and explain the controversialresults concerning the oil-stock relationship in previous studies
关键词：Oil-stock relationship; long-term volatility; long-term correlation