type of the structural shock of interest. Understanding the response of the risk premium to unexpected changes in the price …

opposite sign. The following model provides an economic interpretation of the residual structural shock, namely the financial … market shock. This new shock is designed to capture an unanticipated change in the benefit of holding crude oil inventories …

is the shock to aggregate stock market. …

structural shock that we label expectational shock. This shock plays a crucial role when describing the series of events that …

sign restrictions with information on the volatility of the data, giving less prior mass to impulse effects that are …

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 …

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 …

find that an adverse oil supply shock has a negative effect on stock prices when oil inflation is low. In contrast, this … rates encourage firms to get highly leveraged. A negative oil shock in this scenario leads to a substantial increase in … shock, ameliorating the impact on the stock market. …