Crude oil price shocks, volatility spillovers, and global systemic financial risk transmission mechanisms: Evidence from the stock and foreign exchange markets

Jianyu Chen and Jianshun Zhang

Resources Policy, 2023, vol. 85, issue PB

Abstract: Crude oil, as one of the most important international bulk commodities, has both financial and geopolitical attributes. As such, its price fluctuations are bound to have profound impacts on the international financial markets. We decomposed crude oil price shocks into supply, demand and risk shocks using a structural vector autoregressive (SVAR) model. We then established a network of volatility spillovers and selected four typical time periods to examine the spillover effects between the three price shocks, the global stock market, and the foreign exchange market.

Keywords: Crude oil price shock; Risk spillover; Market linkage; Systemic risk; LSTM; Risk warning (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:85:y:2023:i:pb:s030142072300586x

DOI: 10.1016/j.resourpol.2023.103875

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