The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model

NCUIR > School of Management at National Central University > Graduate Institute of Industrial Economics > journal & Dissertation > Item 987654321/31246

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31246

Title:	The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model
Authors:	Huang,BN;Hwang,MJ;Peng,HP
Contributors:	產業經濟研究所
Keywords:	UNIT-ROOT HYPOTHESIS;TIME-SERIES;MONETARY-POLICY;STOCK-MARKET;GREAT CRASH;MACROECONOMY;COINTEGRATION
Date:	2005
Issue Date:	2010-07-06 17:38:35 (UTC+8)
Publisher:	中央大學
Abstract:	This paper applies the multivariate threshold model to investigate the impacts of an oil price change and its volatility on economic activities (changes in industrial production and real stock returns). The statistical test on the existence of a threshold
Relation:	ENERGY ECONOMICS
Appears in Collections:	[Graduate Institute of Industrial Economics] journal & Dissertation

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