Energy prices, sectoral indices and regulation

This source preferred by George Filis

Authors: Filis, G. and Broadstock, D.

Editors: Dorsman, A., Westerman, W. and Simpson, J.L.

Publisher: Springer

ISBN: 978-3-319-13745-2

This data was imported from Scopus:

Authors: Broadstock, D. and Filis, G.

Pages: 25-55

ISBN: 9783319137469

DOI: 10.1007/978-3-319-13746-9_3

© Springer International Publishing Switzerland 2015. The aim of this research is to examine the time-varying correlation between selected industrial sector indices (oil-intensive, oil-substitutes and non-oilrelated) and oil price shocks. We investigate this correlation for both oil-importing and oil-exporting economies. Using data from 1998 until 2013 and employing a Scalar-BEKK model, we report the following regularities: (1) the correlation between oil price shocks and index returns are showing some differences depending on whether a country is oil-importer or oil-exporter, (2) the correlations are industry-specific and shock-specific and (3) the demand-side shocks mainly generate moderate positive correlations, whereas index returns have low to zero correlation with the supply-side shocks. Prominent among our results is that oil-specific demand shocks have a moderate positive correlation with all indices. Our results have important implication for investors, as well as policy makers.

The data on this page was last updated at 04:42 on September 24, 2017.