Research Article
Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China
Table 5
Generalized variance decomposition of STOCK.
| Periods | S.E. | dIP | OIL | | STOCK | Periods | S.E. | dIP | OIL | | STOCK |
| 1 | 0.029264 | 0.395151 | 0.141588 | 5.030712 | 94.43255 | 11 | 0.043981 | 0.342164 | 2.011849 | 3.523414 | 94.12257 | 2 | 0.040527 | 0.430799 | 0.470383 | 8.225033 | 90.87379 | 12 | 0.044001 | 0.318452 | 2.603733 | 3.671406 | 93.40641 | 3 | 0.041955 | 0.289069 | 1.067355 | 8.672081 | 89.97149 | 13 | 0.044018 | 0.29907 | 3.283352 | 3.936467 | 92.48111 | 4 | 0.043575 | 0.848855 | 1.11992 | 7.35657 | 90.67465 | 14 | 0.044035 | 0.283251 | 4.046391 | 4.29525 | 91.37511 | 5 | 0.043702 | 0.688591 | 0.943073 | 6.128618 | 92.23972 | 15 | 0.044049 | 0.270742 | 4.875873 | 4.736972 | 90.11641 | 6 | 0.043732 | 0.573093 | 0.803602 | 5.102978 | 93.52033 | 16 | 0.044062 | 0.26073 | 5.760365 | 5.249124 | 88.72978 | 7 | 0.043834 | 0.502843 | 0.839256 | 4.414149 | 94.24375 | 17 | 0.044074 | 0.253142 | 6.685862 | 5.814719 | 87.24628 | 8 | 0.043892 | 0.446533 | 0.952725 | 3.926427 | 94.67431 | 18 | 0.044085 | 0.247541 | 7.636951 | 6.422031 | 85.69348 | 9 | 0.043942 | 0.407653 | 1.182682 | 3.620365 | 94.7893 | 19 | 0.044096 | 0.243609 | 8.599254 | 7.054811 | 84.10233 | 10 | 0.043956 | 0.371269 | 1.533481 | 3.489268 | 94.60598 | 20 | 0.044105 | 0.241156 | 9.556565 | 7.699988 | 82.50229 |
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Cholesky ordering: dIP, OIL, , and STOCK.
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