How does stock market volatility react to oil shocks?

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Tác giả: Andrea Bastianin, Matteo Manera

Ngôn ngữ: eng

Ký hiệu phân loại: 333.8232 Subsurface resources

Thông tin xuất bản: 2018

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 162367

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.
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