A Time Series Analysis on the Relationship among Crude Oil, Manufacturing Index, Consumer Confidence, Stock Price and Industrial Production
Date Issued
2016
Date
2016
Author(s)
Lin, Yen-Hao
Abstract
The paper adopts monthly data from 1989:M12 to 2015:M11 to verify the interactive relationship among oil price, ISM manufacturing index, consumer confidence index, stock price and industrial production in US market by quantitative time series models . Through the analysis: (1)Granger Causality Test shows that oil price effects consumer confidence index and inflation rate. Manufacturing index effects oil price, inflation rate and industrial production. Stock price effects oil price, manufacturing index, consumer confidence index, inflation rate and industrial production. Industrial production effects manufacturing index, consumer confidence index, inflation rate and stock price. Each of manufacturing index and industrial production Granger causes the other. Each of stock price and industrial production Granger causes the other. Each of consumer confidence index and industrial production Granger causes the other. Moreover, oil price does not Granger cause the manufacturing index and stock price, consumer confidence index Granger cause the inflation rate. (2)Oil price has positive effect on manufacturing index and inflation rate, but negative effect on consumer confidence index and stock price. Manufacturing index stimulates consumer confidence index and industrial production, but not stock price. Consumer confidence index has positive effect on stock price, but negative on inflation rate. Moreover, industrial production has positive effect on oil price, manufacturing index, consumer confidence index, inflation rate and stock price. (3)Oil price is independent from other market variable, but a key factor to them. Manufacturing index might be driven from stock price, industrial production and oil price. Consumer confidence index is affected by stock price, but index does not stimulate the inflation rate. Inflation rate is mainly affected from oil price. Stock price and manufacturing index are key factor to Industrial production; stock price is also affected by Industrial production and oil price.
Subjects
Vector Autoregressive Model
Granger Casualty test
Impulse Response function
Variance Decomposition
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-105-P02323011-1.pdf
Size
23.54 KB
Format
Adobe PDF
Checksum
(MD5):7b2476496ca9659fe40c6fe7b99b9df2