Essays in nonlinear macroeconomic modeling and econometrics:
This dissertation consists of three essays in nonlinear macroeconomic modeling and econometrics. In the first essay, we decompose oil price movements into oil demand (stock market) shocks and oil supply (oil-market) shocks, and examine the response of the stock market to these shocks. We find that w...
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| Format: | Thesis Book |
| Language: | English |
| Published: |
Manhattan, Kan.
Kansas State University
2011
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| Subjects: | |
| Summary: | This dissertation consists of three essays in nonlinear macroeconomic modeling and econometrics. In the first essay, we decompose oil price movements into oil demand (stock market) shocks and oil supply (oil-market) shocks, and examine the response of the stock market to these shocks. We find that when oil prices are "net-increasing", a stock market shock that causes the S&P 500 to rise by one percentage point will cause the price of oil to rise approximately 0.2 percentage points, with a statistically significant positive effect one day after the stock market shock. On the other hand, the response of the stock market to an oil market shock is a decline of 6.8 percent when the price of oil doubles. For other days, the initial response of the oil market to a stock market shock is the same as in the net oil price increase case (by construction). |
| Item Description: | Includes bibliographical references |
| Physical Description: | 145 S. graph. Darst. |
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| 100 | 1 | |a Atems, Bebonchu |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Essays in nonlinear macroeconomic modeling and econometrics |c Bebonchu Atems |
| 264 | 1 | |a Manhattan, Kan. |b Kansas State University |c 2011 | |
| 300 | |a 145 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
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| 500 | |a Includes bibliographical references | ||
| 502 | |a Thesis (Ph. D.)--Kansas State University, 2011 | ||
| 520 | |a This dissertation consists of three essays in nonlinear macroeconomic modeling and econometrics. In the first essay, we decompose oil price movements into oil demand (stock market) shocks and oil supply (oil-market) shocks, and examine the response of the stock market to these shocks. We find that when oil prices are "net-increasing", a stock market shock that causes the S&P 500 to rise by one percentage point will cause the price of oil to rise approximately 0.2 percentage points, with a statistically significant positive effect one day after the stock market shock. On the other hand, the response of the stock market to an oil market shock is a decline of 6.8 percent when the price of oil doubles. For other days, the initial response of the oil market to a stock market shock is the same as in the net oil price increase case (by construction). | ||
| 650 | 4 | |a Economic growth | |
| 650 | 4 | |a Macroeconomic shocks | |
| 650 | 4 | |a Oil market shocks | |
| 650 | 4 | |a Logistic regression | |
| 650 | 4 | |a Near-multicollinearity | |
| 650 | 4 | |a Inequality | |
| 650 | 4 | |a 0501 | |
| 650 | 4 | |a 0511 | |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-026737284 | ||
Record in the Search Index
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| author | Atems, Bebonchu |
| author_facet | Atems, Bebonchu |
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| format | Thesis Book |
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| id | DE-604.BV041288230 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:53:26Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-026737284 |
| oclc_num | 859422977 |
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| owner | DE-19 DE-BY-UBM |
| owner_facet | DE-19 DE-BY-UBM |
| physical | 145 S. graph. Darst. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Kansas State University |
| record_format | marc |
| spelling | Atems, Bebonchu Verfasser aut Essays in nonlinear macroeconomic modeling and econometrics Bebonchu Atems Manhattan, Kan. Kansas State University 2011 145 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references Thesis (Ph. D.)--Kansas State University, 2011 This dissertation consists of three essays in nonlinear macroeconomic modeling and econometrics. In the first essay, we decompose oil price movements into oil demand (stock market) shocks and oil supply (oil-market) shocks, and examine the response of the stock market to these shocks. We find that when oil prices are "net-increasing", a stock market shock that causes the S&P 500 to rise by one percentage point will cause the price of oil to rise approximately 0.2 percentage points, with a statistically significant positive effect one day after the stock market shock. On the other hand, the response of the stock market to an oil market shock is a decline of 6.8 percent when the price of oil doubles. For other days, the initial response of the oil market to a stock market shock is the same as in the net oil price increase case (by construction). Economic growth Macroeconomic shocks Oil market shocks Logistic regression Near-multicollinearity Inequality 0501 0511 (DE-588)4113937-9 Hochschulschrift gnd-content |
| spellingShingle | Atems, Bebonchu Essays in nonlinear macroeconomic modeling and econometrics Economic growth Macroeconomic shocks Oil market shocks Logistic regression Near-multicollinearity Inequality 0501 0511 |
| subject_GND | (DE-588)4113937-9 |
| title | Essays in nonlinear macroeconomic modeling and econometrics |
| title_auth | Essays in nonlinear macroeconomic modeling and econometrics |
| title_exact_search | Essays in nonlinear macroeconomic modeling and econometrics |
| title_full | Essays in nonlinear macroeconomic modeling and econometrics Bebonchu Atems |
| title_fullStr | Essays in nonlinear macroeconomic modeling and econometrics Bebonchu Atems |
| title_full_unstemmed | Essays in nonlinear macroeconomic modeling and econometrics Bebonchu Atems |
| title_short | Essays in nonlinear macroeconomic modeling and econometrics |
| title_sort | essays in nonlinear macroeconomic modeling and econometrics |
| topic | Economic growth Macroeconomic shocks Oil market shocks Logistic regression Near-multicollinearity Inequality 0501 0511 |
| topic_facet | Economic growth Macroeconomic shocks Oil market shocks Logistic regression Near-multicollinearity Inequality 0501 0511 Hochschulschrift |
| work_keys_str_mv | AT atemsbebonchu essaysinnonlinearmacroeconomicmodelingandeconometrics |