The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries
Andrea Bastianin (),
Francesca Conti () and
Matteo Manera ()
Departmental Working Papers from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano
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)
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Persistent link: https://EconPapers.repec.org/RePEc:mil:wpdepa:2015-17
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