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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 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....

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

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

Are asset price data informative about news shocks? : a DSGE perspective

Iskrev, Nikolay - 2018

Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to...

Persistent link: https://www.econbiz.de/10011864177

Are Asset Price Data Informative About News Shocks? A DSGE Perspective

Iskrev, Nikolay I. - 2018

Persistent link: https://www.econbiz.de/10012916362

Oil Price Shocks and Stock Market Returns : Evidence from Oil-Importing and Oil-Exporting Countries

Yang, Li - 2012

While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this...

Persistent link: https://www.econbiz.de/10013096494

Time-Varying Effect of Oil Market Shocks on the Stock Market

Kang, Wensheng - 2015

1990s and that of oil-market specific demand oil shock has been lower since the early 1990s than before. The structural oil …

Persistent link: https://www.econbiz.de/10013016926

Asymmetric Effect of Oil Price Shocks on Stock Markets

Markazi Moghadam, Hamed - 2016

In this study, we investigate the relationship between stock market price and crude oil market price using Multivariate GARCH type model. We use daily frequency data of stock price indices S&P500 and NASDAQ composite and the prices of one major Crude Oil products, defined as the US price of West...

Persistent link: https://www.econbiz.de/10012990701

Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis

Eraslan, Sercan; Ali, Faek Menla - 2018

We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and stock returns for a wide range of net...

Persistent link: https://www.econbiz.de/10011903691

Non-linear effects of oil shocks on stock prices

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

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. …

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

Volatility spillover between oil and stock prices : structural connectedness based on a multi-sector DSGE model approach with Bayesian estimation

Chan, Ying Tung; Qiao, Hui - In: International review of economics & finance : IREF 87 (2023), pp. 265-286

Persistent link: https://www.econbiz.de/10014472255

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