| Abstract | U ovom radu analizirao se utjecaj cijena nafte na financijska tržišta, odnosno burzovne indekse. Ostale eksplanotorne varijable u modelu su: indeks potrošačkih cijena, indeks industrijske proizvodnje, tečaj domaće valute prema dolaru, kratkoročne kamatne stope i količina proizvedene nafte na svjetskom tržištu. Cilj rada bio je utvrditi, prema prvoj hipotezi postoji li utjecaj cijena nafte na burzovne indekse, te prema drugoj razlikuje li se taj utjecaj za zemlje uvoznice od zemalja izvoznica. U istraživanju je korišten VECM model za zemlje: Njemačka, Francuska, Austrija, Slovenija, Hrvatska, Italija, Norveška i Rusija. Također pri provođenju analize proveden je Phillips-Perronov test, te su sve varijable u svim modelima stacionarne pri I(1), dane su tablice u kojima je prikazana Gangerova kauzalnost, optimalna dužina pomaka i Johansenov test kointegracije. Koeficijenti VECM modela procijenjeni su metodom najmanjih kvadrata, te su dani grafovi koji prikazuju impulsne odgovore različitih burzovnih indeksa na povećanje cijene nafte (pozitivan šok). |
| Abstract (english) | This paper analyzes the impact of oil prices on financial markets, more specific the stock market index. Other exploratory variables in the model are: consumer price indices, industrial production index, exchange rate of domestic currency against the dollar, short-term interest rates and the amount of oil produced in the world market. The aim of the paper was to determine, according to the first hypotheses, whether there is an influence of oil prices on stock market indexes, and whether the impact differs between net import and net export countries. The VECM model was used in the research for: Germany, France, Austria, Slovenia, Croatia, Italy, Norway and Russia. The Phillips-Perron test was also performed, and all variables in all stationary I(1), Ganger's causality has been shown in tables as well as the optimal lag length and Johansen's cointegration test. VECM coefficients are estimated by the least squares method. Graphs are showing the impulse responses of various stock market indices to rising oil prices (positive shock). |
