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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....
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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 …
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