OIL PRICE SHOCKS AND STOCK MARKET BOOMS IN AN OIL EXPORTING COUNTRY

By H. Bjørnland. 2009

396 citations recorded by the source corpus.

This paper analyses the effects of oil price shocks on stock returns in Norway, an oil-exporting country, highlighting the transmission channels of oil prices for macroeconomic behaviour. To capture the interaction between the different variables, stock returns are incorporated into a structural VAR model. I find that following a 10% increase in oil prices, stock returns increase by 2.5%, after which the effect gradually dies out. The results are robust to different (linear and non-linear) transformations of oil prices. The effects on the other variables are more modest. However, all variables indicate that the Norwegian economy responds to higher oil prices by increasing aggregate wealth and demand. The results also emphasize the role of other shocks; monetary policy shocks in particular, as important driving forces behind stock price variability in the short term.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/7a98d2a393ba9d3a63cfb151f3a18a8fa29f1ae9

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Citations in the corpus

Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011, background): “According to Bjornland (2009) and JimenezRodriguez and Sanchez (2005), an oil price increase is expected to have a positive effect in an oil-exporting country, as the country’s income will increase.”
Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models (2020, background): “…as the vector autoregressive (VAR), to examine the dynamic relationship between the oil and stock markets in respect of their mutual dependence (Antonakakis and Filis, 2013; Arouri et al., 2010; Bjørnland, 2009; Broadstock and Filis, 2014; Filis et al., 2011; Lee and Zeng, 2011; Wang et al., 2013).”
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data (2014, background): “Despite the fact that evidence proposes that the origin of the oil price shock triggers different responses from the stock markets, the majority of the literature does not consider them when examines its effects (see, inter alia, Arouri and Rault, 2011; Arouri and Khuong, 2010; Bjornland, 2009; Chen”