The impacts of oil price shocks on stock market volatility : evidence from the G7 countries

Andrea Bastianin (University of Milan and Fondazione Eni Enrico Mattei), Francesca Conti (Fondazione Eni Enrico Mattei), Matteo Manera (University of Milan-Bicocca and Fondazione Eni Enrico Mattei)

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply shocks. On the contrary, demand shocks impact significantly on the variability of the G7 stock markets.

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Year of publication:	2015
Authors:	Bastianin, Andrea ; Conti, Francesca ; Manera, Matteo
Publisher:	Milano : Fondazione Eni Enrico Mattei
Subject:	Volatility \| Oil Price Shocks \| Oil Price \| Stock Prices \| Structural VAR \| Ölpreis \| Oil price \| Volatilität \| VAR-Modell \| VAR model \| Börsenkurs \| Share price \| Schock \| Shock \| G7-Staaten \| G7 countries \| Aktienmarkt \| Stock market \| Wirkungsanalyse \| Impact assessment

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Extent:	1 Online-Ressource (circa 22 Seiten) Illustrationen
Series:	Working paper. - Milan : [Verlag nicht ermittelbar], ZDB-ID 2217241-5. - Vol. 99.2015
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/130272 [Handle]
Classification:	C32 - Time-Series Models ; c58 ; E44 - Financial Markets and the Macroeconomy ; Q41 - Demand and Supply ; Q43 - Energy and the Macroeconomy
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011438638