Disaggregated Oil Shocks and Stock-Market Tail Risks: Evidence from a Panel of 48 Countries

Rangan Gupta, Xin Sheng (), Christian Pierdzioch and Qiang Ji
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Xin Sheng: Lord Ashcroft International Business School, Anglia Ruskin University, Chelmsford, CM1 1SQ, UK

No 202106, Working Papers from University of Pretoria, Department of Economics

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 countries. 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)
Pages: 16 pages
Date: 2021-01
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202106

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