Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics

Rangan Gupta, Xin Sheng, Christian Pierdzioch and Qiang Ji

Research in International Business and Finance, 2021, vol. 58, issue C

Abstract: We analyse the impact of oil supply, global economic activity, oil-specific consumption demand, and oil-inventory demand shocks on equity-market tail risks of a panel of 48 developed and emerging economies over the monthly period from 1975:01 to 2017:12. We find that, oil supply, global economic activity, and oil-inventory demand shocks reduce tail risks, but oil-specific consumption demand shock increases tail risks, with these effects stronger in oil-exporting economies. Our results have important implications for investors and policymakers.

Keywords: Oil shocks; Tail risks; International stock markets; Local projection model; Impulse response functions (search for similar items in EconPapers)
JEL-codes: C23 G01 G11 G12 Q41 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921001367

DOI: 10.1016/j.ribaf.2021.101515

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