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A VAR Approach to the Analysis of the Relationship between Oil Prices and Industry Equity Returns

In: Bank Performance, Risk and Securitization

Author

Listed:
  • Joseph Falzon

    (University of Malta)

  • Daniel Castillo

    (University of Malta
    University of Bath)

Abstract

Oil-related issues repeatedly dominate international news and economic policy discussions, especially as the price of this commodity escalates. Episodes occur with apparent regularity which create supply and demand uncertainty in the oil market, and as a consequence tend to affect its price. The major events since 1970s can be tentatively summarized as the formation of the Organization of Petroleum Exporting Countries (OPEC), major conflicts in oil-exporting regions, and the recent emergence of accelerated growth in developing economies.

Suggested Citation

  • Joseph Falzon & Daniel Castillo, 2013. "A VAR Approach to the Analysis of the Relationship between Oil Prices and Industry Equity Returns," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Joseph Falzon (ed.), Bank Performance, Risk and Securitization, chapter 10, pages 235-265, Palgrave Macmillan.
    • Handle: RePEc:pal:pmschp:978-1-137-33209-7_11
    DOI: 10.1057/9781137332097_11
    as

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