A Quantile Regression Analysis of Crude Oil Price And U.S. Economic Growth
碩士 === 國立成功大學 === 財務金融研究所 === 97 === This study examines the relationship between the spot price of WTI crude oil and economic growth of American using quantile regression. Here, the industrial production index growth rate is defined as the proxy variable of the economic growth rate of American. dat...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/12131951274590280536 |
| Summary: | 碩士 === 國立成功大學 === 財務金融研究所 === 97 === This study examines the relationship between the spot price of WTI crude oil and economic growth of American using quantile regression. Here, the industrial production index growth rate is defined as the proxy variable of the economic growth rate of American. data period is from January 1986 to December 2008.The empirical results show that the effect is quite different across various business cycle stages. There are asymmetric effects between these two factors. While the business cycle stage is in highly expansive condition, there are significant negative relationship between WTI crude oil and economic growth. But the effect is significant positive while the business cycle stage is on recessional condition. This research also find that the linkage with WTI crude oil is much stronger while the business cycle stage is in extremely recessional conditions than in highly expansive condition. On the other hand, linear regressions estimated by the ordinary least square method is unable to reveal such patterns from the sample distribution.
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