The link between crude oil price and stock returns of the Group of Seven (G7) countries (Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States) was analyzed in this study using monthly data from January 1999 to March 2020. We adopt a similar approach to Kilian (Am Econ...

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...

We examine the high-frequency intraday return and volatility transmission between crude oil futures prices and exchange rates around the COVID-19 shock for both the newly established Renminbi-denominated INE in China and the dollar-denominated Brent in the UK. With controlling for the influence...

This study explores the dynamic linkage of exogenous oil shock and economic activity in Nigeria in Nigeria via a sign- identified Structural Vector Autoregression (SVAR). Specifically, the study utilizes quarterly time series data where the information set uses real gross domestic product,...

Historically, oil has been the main source of earnings in the Saudi Arabian economy. Different from other symmetric oil price shock studies, the aim of this paper is to test the impacts of symmetric oil price shocks on government expenditure-real exchange rate nexus and ultimately, to check the...

Russian monetary policy has been challenged by large and continuous private capital outflows and a sharp drop in oil prices during 2014, with both ongoings having put a significant depreciation pressure on the ruble and having led the central bank to eventually give up its exchange rate...

Based on the existent possible explanations of oil futures term structure, this study provides a more fundamental view, which has a theoretical support from the theory of storage and well-suited intuitions in correspondence with reality. By using structural econometrical models, it divides oil...

We construct downside variance risk premiums from the crude oil and gold option data and use them as proxies for market downside uncertainty risks. We find that these downside variance risk premiums contain commodity market specifc pricing information. Further- more, the gold market's exposure...

This paper investigates the oil market reaction to its fundamental shocks: supply, aggregate demand and oil-specific demand in different regimes characterised by high versus low uncertainty in the market. We do so by first proposing a novel oil uncertainty index that is measured by the...

We provide empirical evidence on the impact of oil supply shocks on global aggregates. To do this, we first extract structural oil supply shocks from a standard oil-price determination model found in the literature. Impulse response functions are then estimated using local projections. This...