autoregression framework to decompose crude oil price shocks into oil supply shock, oil aggregate demand shock, and oil …-specific demand shock. We then explore the distinct effects of different kinds of oil price shocks from various sources.Based on the … appear to be heterogeneous. Oil supply shock appears to be a net transmitter of spillover effects for all G7 countries within …

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 …