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Spillover and quantile linkage between oil price shocks and stock returns : new evidence from G7 countries

Jiang, Yonghong; Tian, Gengyu; Mo, Bin - In: Financial innovation : FIN 6 (2020) 42, pp. 1-26

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 …

Persistent link: https://www.econbiz.de/10012418406

Downside Uncertainty Shocks in the Oil and Gold Markets

Roh, Tai-Yong - 2020

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...

Persistent link: https://www.econbiz.de/10012839629

Shock propagation across the futures term structure : evidence from crude oil prices

Lautier, Delphine H.; Raynaud, Franck; Robe, Michel A. - In: The energy journal 40 (2019) 3, pp. 125-153

Persistent link: https://www.econbiz.de/10012053253

Demand shocks vs. supply shocks : which shocks matter more in income and price inequality?

Hwang, Seolwoong; Lee, Kwangwon; Yim, Geunhyung - 2022

demand shocks significantly worsen the income distribution. It is estimated that the effect of the demand shock is long …-lasting. In contrast to this, a supply shock worsens the index in the short-term and has a short duration. In addition, negative … of shock …

Persistent link: https://www.econbiz.de/10013198179

Uncertainty and Sign-Dependent Effects of Oil Market Shocks

Nguyen, Bao - 2019

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...

Persistent link: https://www.econbiz.de/10012893587

Large Shocks and Commodity Market Volatility

Hua, Jian - 2010

Using the Tsay (1988) outlier identification methodology on daily log-returns of 16 commodity spot price series and 25 commodity index series, this study assesses the impact significant and unexpected news announcements had on volatility between January 1, 1997 and December 31, 2007. Results...

Persistent link: https://www.econbiz.de/10013146702