HOW DOES STOCK MARKET VOLATILITY REACT TO OIL PRICE SHOCKS?
By A. Bastianin, Matteo Manera. 2017
71 citations recorded by the source corpus.
We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e., aggregate demand, oil supply, and oil-specific demand shocks) and stock market volatility using a structural vector autoregressive model. Identification is achieved by assuming that the price of crude oil reacts to stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous, but predetermined with respect to the stock market. We show that volatility responds significantly to oil price shocks caused by unexpected changes in aggregate and oil-specific demand, whereas the impact of supply-side shocks is negligible.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Stavros Degiannakis *
- George Filis
- Vipin Arora
- D. Broadstock
- Ioannis Chatziantoniou
- Perry Sadorsky
- Nikolaos Antonakakis
- R. Brooks
In Renewable Energy, Sustainability and the Environment
- Stavros Degiannakis *
- George Filis
- Vipin Arora
- Perry Sadorsky
- Ronald A. Ratti
- Wensheng Kang
- D. Broadstock
- Ioannis Chatziantoniou
Citations in the corpus
- Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “Kang et al. (2015a), as well as, Bastianin and Manera (2017) on the other hand, concentrate on the US market and find that both demand-side shocks (i.e. aggregate demand and precautionary demand shocks) lead to lower stock market volatility.”