关于石油市场和欧洲股票回报率之间的关系
Cosimo Magazzino1, Muhammad Shahbaz2,3, Massimiliano Adamo4
1Department of Political Science, Roma Tre University, Rome, Italy. cosimo.magazzino@uniroma3.it.
Environmental science and pollution research international
|November 20, 2023
概括
石油市场动态地影响欧洲股票的回报,因果关系随着时间的推移,从供应和需求的角度来看都有所不同. 这凸显了适应性风险管理和能源政策的必要性.
科学领域:
- 经济学 经济学 经济学
- 金融市场 金融市场
- 能源经济学 能源经济学
背景情况:
- 全球能源市场和金融系统的相互联系是研究的关键领域.
- 了解油价波动与股票市场表现之间的动态关系对于经济稳定至关重要.
- 以前的研究往往忽略了这些因果关系的时间变化的性质.
研究的目的:
- 调查石油市场和欧洲股市回报之间的动态,时间变化的因果关系.
- 从石油供应和需求的角度分析这些动态.
- 为投资者和政府提供政策见解.
主要方法:
- 使用了2007年5月至2022年4月27个欧盟成员国的月度数据.
- 采用了一种使用时间变化的格兰杰因果关系测试的新方法.
- 应用结构向量自回归 (SVAR) 模型来检查因果关系.
主要成果:
- 经验证据证实了石油市场和欧洲股票回报之间的显著时间变化的格兰杰因果关系.
- 从石油供给侧和需求侧的冲击中观察到因果关系.
- 这种动态关系凸显了石油市场波动对欧洲股票的不断变化的影响.
结论:
- 这些发现需要重新评估欧洲股票市场投资者的风险管理策略.
- 政策建议包括调整经济和能源政策,考虑货币政策影响,加强市场监管.
- 促进国际合作和加速向可持续能源过渡对于长期稳定至关重要.
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