An Empirical Study on the Relationships among Oil Price, Automobile Stock Index and Macroeconomic Indexes

• Main Authors: Chun-Ying Huang, 黃俊穎
• Other Authors: Rern-Jay Hung
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/08453804735409273793

碩士 === 國立屏東科技大學 === 財務金融研究所 === 97 === The volatility of oil price has resulted in the significant impacts on macroeconomy and industries, especially the automobile industry. This study investigates the long run equilibrium among automobile stock index, oil price, unemployment rate and CPI. The empirical results are as follows: 1.Johansen cointegration test shows that there exist long run equilibrium relations among automobile stock index, oil price, unemployment rate and CPI, which implies that the impacts of volatility of oil price on macroeconomy and automobile stock index exist. 2.From VECM model, the adjustments to long run equilibrium for automobile stock index, oil price, unemployment rate and CPI are slow. The oil price is affected by automobile stock index one period ahead; while unemployment is affected by itself one period ahead. 3.The Granger Causality shows that automobile stock index leads unemployment rate by two periods, leads oil price by one period; unemployment rate leads CPI by twelve periods, while oil price leads unemployment rate by three periods. The results imply that automobile stock index can be regarded as leading index of macroeconomy.