Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China
This paper investigates the interactive relationships among China energy price shocks, stock market, and themacroeconomy using multivariate vector autoregression.The results indicate that there is a long cointegration among them. A 1% rise in the energy price index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also cause inflation