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Time-Varying Effect of Oil Market Shocks on the Stock Market

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Table 1. Results of stationarity test Levels VariablesADF TestPP TestKPSS Test Without trendWith trendWithout trendWith trendWithout trendWith trend prod-0.498-2.484-2.484-3.0585.975***0.750*** rea-3.677***-3.707**-3.707**-3.221*0.483**0.454*** rpo-1.578-1
Figure 1. Real stock return and real oil price in U.S., 1973:01 –2012:12 Notes: Figure 1shows U.S
Figure 3. Posterior means of coefficients of variables with t-1 in the real stock return equations in U.S., 1973:07 –2012:12 Notes: Figure 3shows posterior means of coefficients of each variable with lag 1 in the real stock return in the U.S
Figure 4. Posterior means of simultaneous effects in U.S., 1973:07–2012:12 Notes: Figure 4shows simultaneous effects between variables; that are the elements of lower triangle matrix A tin the structural VAR model
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