eprintid: 13180
rev_number: 5
eprint_status: archive
userid: 1
dir: disk0/00/01/31/80
datestamp: 2012-03-14 14:55:40
lastmod: 2015-04-23 00:20:29
status_changed: 2012-08-15 09:04:55
type: workingPaper
metadata_visibility: show
creators_name: Conrad, Christian
creators_name: Loch, Karin
creators_name: Rittler, Daniel
title: On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation
ispublished: pub
subjects: ddc-330
divisions: i-181000
keywords: Oil-stock relationship , long-term volatility , long-term correlation , GARCH-MIDAS , DCC-MIDAS
abstract: Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy. We find that variables which contain information on current and future economic activity are helpful predictors for changes in the oil-stock correlation. For the period 1993-2011 there is strong evidence for a counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above trend our model predicts a negative long-term correlation, while before and during recessions the sign changes and remains positive throughout the economic recovery. Our results strongly suggest that crude oil prices cannot be viewed as being exogenous with respect to the U.S. macroeconomy and explain the controversial results concerning the oil-stock relationship in previous studies.
abstract_translated_lang: eng
class_scheme: jel
class_labels: C32, C58, Q43
date: 2012
date_type: published
id_scheme: DOI
id_number: 10.11588/heidok.00013180
schriftenreihe_cluster_id: sr-3
schriftenreihe_order: 0525
ppn_swb: 1651355878
own_urn: urn:nbn:de:bsz:16-opus-131806
language: eng
bibsort: CONRADCHRIONTHEMACRO2012
full_text_status: public
citation:   Conrad, Christian ; Loch, Karin ; Rittler, Daniel  (2012) On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/13180/1/Conrad_Loch_Rittler_2012_dp525.pdf