Mumtaz, Haroon; Pirzada, Ahmed; Theodoridis, Konstantinos - 2018
This paper uses a panel Threshold VAR model to estimate the regime-dependent impact of oil shocks on stock prices. We … find that an adverse oil supply shock has a negative effect on stock prices when oil inflation is low. In contrast, this … impact is negligible in the regime characterised by higher oil price inflation. Using a simple DSGE model, we suggest that …