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 … structural VAR models, one for each oil price shock. Identification is achieved by assuming that the price of crude oil reacts to …

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. …

addition through uncertainty effects, the current slump might then be depressing aggregate demand by increasing the real … following the slump points to the accommodation of the shock by the ECB, concurrent with the implementation of the Quantitative …

structural parameters of interest, such as supply and demand elasticises. Our model incorporates both the futures-spot price … structural shock that we label expectational shock. This shock plays a crucial role when describing the series of events that …

(FAVAR) model. We analyze the role of speculation in comparison to supply and demand forces as drivers of oil prices. The … main results are as follows: (i) While global demand shocks account for the largest share of oil price fluctuations …, speculative demand shocks are the second most important driver. (ii) The comovement between oil prices and the price of other …