| 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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| The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries |
| Andrea Bastianin; Francesca Conti; Matteo Manera
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| 发表日期 | 2015
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| 出处 | Energy: Resources and Markets
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| 出版年 | 2015
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| 语种 | 英语
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| 摘要 | 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.
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Suggested citation: Andrea Bastianin, Francesca Conti, Matteo Manera, The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries, Energy Policy, Volume 98, November 2016, Pages 160-169, ISSN 0301-4215, http://dx.doi.org/10.1016/j.enpol.2016.08.020 |
| 特色分类 | C32;C58;E44;Q41;Q43
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| 关键词 | Volatility
Oil Price 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/the-impacts-of-oil-price-shocks-on-stock-market-volatility-evidence-from-the-g7-countries/
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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/118347
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推荐引用方式
GB/T 7714 |
Andrea Bastianin,Francesca Conti,Matteo Manera. The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries. 2015.
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