Abstract
This paper proposes an interval-based model to investigate the relationship between crude oil prices and US stock market indices. We incorporate the point dummy variables with the proposed interval-based model to further explore the impact on this relationship caused by the sub-prime financial crisis. The economic significance and hypothesis tests for the parameters of interest are provided. Empirical results suggest that US stock market indices have a positive marginal effect on the crude oil prices in the short term which also remains during the sub-prime financial crisis. However, the lagged values of interval crude oil prices affect US stock market indices negatively before the sub-prime financial crisis, while the lagged values of interval crude oil prices exhibit a positive marginal effect on US stock market indices accompanied by the occurrence of the sub-prime financial crisis, which increases the volatility of US stock market indices.
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