Browsing by Author "Ivrendi, Mehmet"

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    Oil and Stock Prices: New Evidence From a Time Varying Homogenous Panel Smooth Transitionvecmfor Seven Developing Countries
    (Wiley, 2022) Ceylan, Resat; Ivrendi, Mehmet; Shahbaz, Muhammed; Omay, Tolga
    This paper investigates the relationship between international oil price and stock prices applying the time varying causality testing over the period of 2000(M1)-2017(M3). The panel unit root and panel cointegration tests considering cross-section dependence are also employed. A time varying panel smooth transition vector error correction (TV-PSTRVEC) model is a developed and estimated for testing the presence of non-linear short-run and long-run causality, and cointegrating relationship between stock and oil prices. The empirical findings indicate that short and long-run causalities between oil price and stock prices are time-dependent. Moreover, oil price cause stock prices in the long-run. In the short-run, neutral effect exists between oil price and stock prices. These two findings are evidence of a strong exogeneity of oil price in time-dependent regimes which is also supporting the recent arguments and empirical findings.