Journal
JAPAN AND THE WORLD ECONOMY
Volume 27, Issue -, Pages 1-9Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.japwor.2013.03.003
Keywords
Clean energy; Stock prices; Oil price; Markov-switching VAR
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Funding
- Grants-in-Aid for Scientific Research [22330094] Funding Source: KAKEN
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In this paper, we analyze the relationships among oil prices, clean energy stock prices, and technology stock prices, endogenously controlling for structural changes in the market. To this end, we apply Markov-switching vector autoregressive models to the economic system consisting of oil prices, clean energy and technology stock prices, and interest rates. The results indicate that there was a structural change in late 2007, a period in which there was a significant increase in the price of oil. In contrast to the previous studies, we find a positive relationship between oil prices and clean energy prices after structural breaks. There also appears to be a similarity in terms of the market response to both clean energy stock prices and technology stock prices. (c) 2013 Elsevier B.V. All rights reserved.
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