TITLE:
Oil Price Shocks and the US Stock Market: Slope Heterogeneity Analysis
AUTHORS:
Sarfaraz Ali Shah Syed, Hélène Syed Zwick
KEYWORDS:
Oil Prices, Structural Break, US Economy, Slope Heterogeneity
JOURNAL NAME:
Theoretical Economics Letters,
Vol.6 No.3,
June
9,
2016
ABSTRACT: This study investigates
the oil and stock prices nexus in the US economy over the period 1980-2016.
Using breakpoint regression technique, our findings are twofold: 1) we confirm
the existence of the nexus as established in the existing literature on the
subject; 2) while the relationship between the oil and stock prices remains
intact, the slope changes over time, thus identifying a non-linear
relationship.