Work detail

Impact of Oil Price Shocks on Automobile Stock Prices, An Impulse Response Analysis

Author: Mgr. Lukáš Malárik
Year: 2013 - summer
Leaders:
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 82
Awards and prizes:
Link:
Abstract: The goal of this master thesis is to analyze impact of shocks in oil prices to
automobile industry stock prices and returns. We decompose oil price shocks
on oil supply shocks, aggregate demand shocks and oil-specific demand shocks
and assess their individual impacts on these stock prices/returns. This is
done using the vector autoregression (VAR) methodology which allows us
to compute impulse responses, that is the reaction paths on the individual
shocks. In addition to linear VARs we also employ threshold VAR models in
order to capture nonlinearities in impulse responses and besides the aggregate
automobile stock price index we compute these nonlinear impulse responses
also for some selected individual car producers. We think that this analysis
have two different uses. First, it can be beneficial to stock market investors.
Second, it can be used by policymakers in countries such as Slovakia and
the Czech Republic, which are relatively heavily dependent on automotive
industry.
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Deloitte

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CRIF
McKinsey
Patria Finance