 Risk, uncertainty, world business cycles, and the U.S. stock-oil relationshipAndré Varella Mollick Journal of Commodity Markets, 2025, vol. 39, issue C Abstract: We examine in this paper the transmission of geopolitical risks (GPR), VIX, economic policy uncertainty (EPU), and “macro uncertainty” shocks to real WTI oil and U.S. stock returns (S&P 500). Structural vector autoregressions (SVAR) are applied to monthly data from 1990:1 to 2023:6 with identification based on long-run restrictions of impulse responses from risk/uncertainty measures to world industrial production. The main results are: First, oil prices respond positively to shocks in GPR and macro uncertainty in the short-run, but not to shocks in VIX and EPU. Second, stock returns respond negatively and for longer to both GPR and VIX shocks. Third, S&P 500 moves up with positive real WTI shocks for between 5 and 8 months, supporting favorable stock market reaction to oil fundamentals. By verifying shock contributions to real asset prices, the pair (GPR, VIX) outperforms other combinations of risk/uncertainty. Two-regime Markov-Switching VARs present satisfactory regime classification measures. Keywords: Economic policy uncertainty; Geopolitical risks; Macro uncertainty; Oil prices; Stock returns; VIX (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:39:y:2025:i:c:s2405851325000352 DOI: 10.1016/j.jcomm.2025.100491 Access Statistics for this article Journal of Commodity Markets is currently edited by Marcel Prokopczuk, Betty Simkins and Sjur Westgaard More articles in Journal of Commodity Markets from Elsevier |
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