The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries
Andrea Bastianin (),
Francesca Conti and
Matteo Manera ()
Additional contact information
Francesca Conti: Fondazione Eni Enrico Mattei
No 2015.99, Working Papers from Fondazione Eni Enrico Mattei
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.
Keywords: Volatility; Oil Price Shocks; Oil Price; Stock Prices; Structural VAR (search for similar items in EconPapers)
JEL-codes: C32 C58 E44 Q41 Q43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene, nep-fmk and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Journal Article: The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries (2016)
Working Paper: The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:fem:femwpa:2015.99
Access Statistics for this paper
More papers in Working Papers from Fondazione Eni Enrico Mattei Contact information at EDIRC.
Bibliographic data for series maintained by barbara racah ().