Arbeitspapier
The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries
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. We show that stock market volatility does not respond to oil supply shocks. On the contrary, demand shocks impact significantly on the variability of the G7 stock markets.
- Language
-
Englisch
- Bibliographic citation
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Series: Nota di Lavoro ; No. 99.2015
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Econometrics
Financial Markets and the Macroeconomy
Energy: Demand and Supply; Prices
Energy and the Macroeconomy
- Subject
-
Volatility
Oil Price Shocks
Oil Price
Stock Prices
Structural VAR
- Event
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Geistige Schöpfung
- (who)
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Bastianin, Andrea
Conti, Francesca
Manera, Matteo
- Event
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Veröffentlichung
- (who)
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Fondazione Eni Enrico Mattei (FEEM)
- (where)
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Milano
- (when)
-
2015
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bastianin, Andrea
- Conti, Francesca
- Manera, Matteo
- Fondazione Eni Enrico Mattei (FEEM)
Time of origin
- 2015
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