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Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data

Author

Listed:
  • Mehmet Balcilar

    (Eastern Mediterranean University, Turkey and University of Pretoria, South Africa)

  • Rangan Gupta

    (Department of Economics, University of Pretoria)

  • Mark E. Wohar

    (University of Nebraska-Omaha, USA and Loughborough University, UK)

Abstract
This paper investigates the role of permanent and transitory shocks, within the framework of common cycles and common trends, in explaining stock and oil prices. We perform a multivariate variance decomposition analysis of monthly data on the West Texas Intermediate (WTI) oil price and the S&P500. The dataset used in the study spans a long period of 150 years and therefore contains a rich history to examine both the short- and long-run comovement properties of oil and stock prices. Given that the oil and stock markets might comove both in the short- and long-run, it is of interest to see the relative impacts of transitory and permanent shocks on both variables. We find that (log) oil price and (log) S&P 500 share a common stochastic trend for our full sample of September 1859 to July 2015, but a common cycle only exists during the post-WW II period. Full and post-WW II samples have quite different common feature estimates in terms of the impact of permanent and transitory shocks as measured by the impulse responses and forecast error variance decompositions. We also find that in the short-run oil is driven mostly by cycles (transitory shocks) and stock market is mostly driven by permanent shocks. But, permanent shocks dominate in the long-run.

Suggested Citation

  • Mehmet Balcilar & Rangan Gupta & Mark E. Wohar, 2015. "Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data," Working Papers 201572, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201572
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    More about this item

    Keywords

    Oil market; Stock market; Common Cycles; Common Features; Trend-cycle decomposition; Permanent; transitory shocks;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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