The relationship
between stocks and oil prices-
股票與油價之關係 (3)
Figures 6 and 7 show the rolling correlations of stock prices with the predicted component of oil (the part associated with both demand and risk) and the residual component, respectively. The average correlation in Figure 6 is 0.68, compared to 0.05 in Figure 7. Accounting for risk does improve our ability to explain why oil prices and stocks tend to move together. However, the correlation of the residual component with stocks is not negative, as would be expected if it reflected only the beneficial effects of supply shocks.
圖 6 和圖 7 分別顯示的股票與油價（需求與風險相關聯的部件）的預測的元件和殘餘的元件，滾動的相關性。圖 6 中的平均相關性是 0.68，相比圖 7 所示的 0.05高。風險的說明的確改進了我們的能力來解釋，為什麼油價和股票往往一起移動。然而，殘餘元件與股市的相關性不是負面的，如所預料，若它僅僅反映了供給衝擊的有益影響。
圖 6 和圖 7 分別顯示的股票與油價（需求與風險相關聯的部件）的預測的元件和殘餘的元件，滾動的相關性。圖 6 中的平均相關性是 0.68，相比圖 7 所示的 0.05高。風險的說明的確改進了我們的能力來解釋，為什麼油價和股票往往一起移動。然而，殘餘元件與股市的相關性不是負面的，如所預料，若它僅僅反映了供給衝擊的有益影響。
Our bottom line: The tendency of stocks and oil prices to move together is not a new development; it goes back nearly five years (the limits of our sample) and probably more. Much of this positive correlation can be explained by the tendency of stocks and oil prices to react in the same direction to common factors, including changes in aggregate demand and in overall uncertainty and risk aversion. However, even accounting for these factors, the residual correlation is close to zero, not negative as we would expect if it were capturing only beneficial supply shocks. There are several other explanations that could be investigated: for example, the possibility that declines in oil prices, even if initially caused by higher supply, affect global financial conditions by damaging the creditworthiness of oil-producing companies or countries. This topic is one well worth revisiting.
我們的底線︰股市和油價一起移動的趨勢並不是一個新發展;它回溯將近五年 前（我們的例子的期限）也可能更久遠。很多呈正面的相關性，可以用股票和石油價格的傾向來解釋，兩者朝同一個方向反應，包括總需求的改變，和全面的不確定性和厭惡風險。然而，就算是解釋了這些因素，殘差的相關性是接近于零，並非負面，正如我們期望，如果它抓住僅有利的供給衝擊。有幾種可能被調查的其他解釋 ︰ 例如，石油價格下降的可能性，即使當初由更高的供給而引起，由於破壞石油生產公司或產油國家的信譽，而影響全球的金融條件。這個主題值得重新考慮一下。
Appendix 1: Regression of log changes in oil prices against log changes in copper prices, log changes in the dollar, and raw changes in the ten-year Treasury yield.
附錄 1 ︰ 回歸石油價格對銅價記錄的改變、對美元的改變，和對十年期國債收益率基本變化。
Appendix 2: Regression that adds the log change in the VIX (an index of stock volatility) to the right-hand side.
附錄 2 ︰在VIX中（股價波動指數表）記錄改變在右側的增加之回歸。
Energy-related stocks have a larger weight in broad stock indices than energy production does in the economy, which helps explain why stocks might respond adversely to oil price declines, even if those declines are on net good for the economy. However, as we have confirmed, even changes in the transportation subcomponent of the S&P 500, which one would think might especially benefit from cheaper oil, are positively correlated with changes in oil prices.
在經濟上，與能源相關的股票對廣泛的股票指數，比能源生產有更大的壓力，這有助於解釋為什麼股票可能回應不利油價下跌，即使那些下降對經濟有淨益。然而，正如我們已經確認，即使在S & P 500運輸業附屬元件的一些變化，與油價的變化呈正面性的關連。其中我們認為特別的是，可能受益于更廉價的石油。
[2] Sources: 本文取材自：Bloomberg/CME (copper); Bloomberg (dollar spot index); Board of Governors via Fred (Ten-year Treasury rates).WSJ/Haver (VIX).
全文完
Justin Lai 編譯
油價反應市場供需，股價與經濟有關，但上列文章有一件重要事情未提及，-即國際政治，
因此產油國家、歐美人士掌控了油價漲跌，也干涉國際政治。
04/01/2016
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