Decomposition of oil price Supply and demand shock in stock returns and economic performances
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1252062528-MIT.pdf
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648.36 KB
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Adobe PDF
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Author(s)
Wang, Shuwen,M. FinMassachusetts Institute of Technology.
Advisor(s)
Leonid Kogan.
Date Issued
2021
Publisher
Massachusetts Institute of Technology
Abstract
Oil price shock has always been serving as a "mirror" reflecting the macroeconomic situation. However, it consists of different shocks from both demand side and supply side, and each side of the shock has different impacts on the economy. To extract more implications from oil price shocks, this thesis has several purposes. First, we proved the different lead-lag relationships between refined oil and crude oil during the shocks. Second, we utilized the properties of crack spread to define a new indicator that identify demand shock and supply shock in the total oil price change, and compared it with the traditional decomposition method, structural VAR model. Finally, we examined how much the decomposed shocks can explain the overall economic performances.
Description
Thesis: M. Fin., Massachusetts Institute of Technology, Sloan School of Management, Master of Finance Program, February, 2021
Cataloged from the official PDF version of thesis.
Includes bibliographical references (page 22).
Subjects
Sloan School of Management. Master of Finance Program.
MIT Department
Sloan School of Management
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MIT theses may be protected by copyright. Please reuse MIT thesis content according to the MIT Libraries Permissions Policy, which is available through the URL provided.
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