Similar Search Results

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

Bastianin, Andrea; Conti, Francesca; Manera, Matteo - 2015

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a … oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply …

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

How does stock market volatility react to oil shocks?

Bastianin, Andrea; Manera, Matteo - 2014

We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

Persistent link: https://www.econbiz.de/10010476423

A weekly structural VAR model of the US crude oil market

Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022

We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia's invasion of Ukraine. The model is set identified with a...

Persistent link: https://www.econbiz.de/10013254444

Interpreting the oil risk premium : do oil price shocks matter?

Valenti, Daniele; Manera, Matteo; Sbuelz, Alessandro - 2018

This paper provides an analysis of the link between the global market for crude oil and oil futures risk premium at the aggregate level. It off ers empirical evidence on whether the compensation for risk required by the speculators depends on the type of the structural shock of interest....

Persistent link: https://www.econbiz.de/10011794500

Modelling the global price of oil : is there any role for the oil futures-spot spread?

Valenti, Daniele - 2018

In this work, we propose an analysis of the global market for crude oil based on a revised version of the Structural Vector Autoregressive (SVAR) model introduced by Kilian and Murphy (2014). On this respect, we replace the global proxy for above-ground crude oil inventories with the oil...

Persistent link: https://www.econbiz.de/10011794647

Non-linear effects of oil shocks on stock prices

Mumtaz, Haroon; Pirzada, Ahmed; Theodoridis, Konstantinos - 2018

This paper uses a panel Threshold VAR model to estimate the regime-dependent impact of oil shocks on stock prices. We find that an adverse oil supply shock has a negative effect on stock prices when oil inflation is low. In contrast, this impact is negligible in the regime characterised by...

Persistent link: https://www.econbiz.de/10011895018

Global oil price swings : has their effect on Malta changed over time?

Ruisi, Germano - 2023

volatility to estimate the changing spillover of global oil shocks into the Maltese economy during the period that goes from …

Persistent link: https://www.econbiz.de/10014380679

Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries

Cologni, Alessandro (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003357869

Oil price shocks and global imbalances : lessons from a model with trade and financial interdependencies

Allegret, Jean-Pierre; Mignon, Valérie; Sallenave, Audrey - 2014

Persistent link: https://www.econbiz.de/10010235833

Macroeconomic and financial effects of oil price shocks : evidence for the Euro area

Morana, Claudio - 2016

The paper investigates the macroeconomic and financial effects of oil prices shocks in the euro area since its creation in 1999, with a special focus on the recent slump. The analysis is carried out episode by episode, within a time-varying parameter framework, consistent with the view that "not...

Persistent link: https://www.econbiz.de/10011451685

1
2
3
4
5
6
7
8
9
10
Next
Last