| 来源类型 | FEEM working papers "Note di lavoro" series
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| 规范类型 | 论文
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| How Does Stock Market Volatility React to Oil Shocks? |
| Andrea Bastianin; Matteo Manera
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| 发表日期 | 2014
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| 出处 | Energy: Resources and Markets
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| 出版年 | 2014
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| 语种 | 英语
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| 摘要 | We study the impact of oil price shocks on U.S. stock market volatility. We derive three different structural oil shock variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate structural VAR models, one for each oil price shock. 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 sudden changes in aggregate and oil-specific demand, while the impact of supply-side shocks is negligible.
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Suggested citation: Bastianin, A., M. Manera, (2014), 'How Does Stock Market Volatility React to Oil Shocks?', Nota di Lavoro 110.2014, Milan, Italy: Fondazione Eni Enrico Mattei. |
| 特色分类 | C32;C58;E44;Q41;Q43
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| 关键词 | Volatility
Oil Shocks
Oil Price
Stock Prices
Structural VAR
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| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/how-does-stock-market-volatility-react-to-oil-shocks/
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| 来源智库 | Fondazione Eni Enrico Mattei (Italy)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/118325
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推荐引用方式
GB/T 7714 |
Andrea Bastianin,Matteo Manera. How Does Stock Market Volatility React to Oil Shocks?. 2014.
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2015115160284NDL2014-110.pdf
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