Non-linear cointegration between oil and stock prices: the role of interest rates

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dc.contributor.authorMartínez Cañete, Ana Rosa
dc.contributor.authorMárquez De La Cruz, Elena
dc.contributor.authorPérez-Soba Aguilar, Inés
dc.date.accessioned2024-07-08T09:19:45Z
dc.date.available2024-07-08T09:19:45Z
dc.date.issued2021-08-19
dc.description.abstractThe Zero Lower Bound (ZLB) has been suggested as an explanation as to why oil and stock prices have become highly correlated post 2008. Our paper contributes to the literature on this topic by testing (i) whether there is a long-run relationship between oil prices and stock prices (measured by the MSCI World Index) that is non-linear depending on the interest rate levels and, if this is the case, (ii) whether the co-movement between them is stronger when interest rates are very low. To do so, we apply a cointegrating smooth transition regression approach using a global shadow rate as the transition variable to take into account the possible effects of unconventional monetary policy measures on the oil-stock price linkage. We find evidence in favor of the two hypotheses tested. These results have important implications for portfolio managers and investors, since the benefits of portfolio diversification by investing in oil would be lower in a ZLB context. In addition, from a policymakers’ perspective, the results could be revealing that, in this context, central banks could exert a greater influence than in “normal times” not only on equity prices, but also on global oil prices.
dc.description.departmentDepto. de Economía Aplicada, Pública y Política
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.refereedTRUE
dc.description.statuspub
dc.identifier.citationMartínez-Cañete, A. R., Márquez-de-la-Cruz, E., & Pérez-Soba, I. (2022). Non-linear cointegration between oil and stock prices: The role of interest rates. Research in International Business and Finance, 59, 101513. https://doi.org/10.1016/j.ribaf.2021.101513
dc.identifier.doi10.1016/j.ribaf.2021.101513
dc.identifier.essn1878-3384
dc.identifier.issn0275-5319
dc.identifier.officialurlhttps://doi.org/10.1016/j.ribaf.2021.101513
dc.identifier.urihttps://hdl.handle.net/20.500.14352/105761
dc.issue.number101513
dc.journal.titleResearch in International Business and Finance
dc.language.isoeng
dc.page.final14
dc.page.initial1
dc.publisherElsevier
dc.rights.accessRightsrestricted access
dc.subject.jelE43
dc.subject.jelC32
dc.subject.jelG15
dc.subject.keywordOil price
dc.subject.keywordStock prices
dc.subject.keywordShadow rate
dc.subject.keywordZero Lower Bound
dc.subject.keywordNon-linear cointegration
dc.subject.keywordUnconventional monetary policy measures
dc.subject.ucmEconomía
dc.subject.unesco53 Ciencias Económicas
dc.titleNon-linear cointegration between oil and stock prices: the role of interest rates
dc.typejournal article
dc.type.hasVersionVoR
dc.volume.number59
dspace.entity.typePublication
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relation.isAuthorOfPublication.latestForDiscovery06376186-3ad8-48c5-b151-fc101fdf8843
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