The Effect of Oil Price Uncertainty Shock on International Equity Markets: Evidence from a GVAR Model

Afees Salisu, Rangan Gupta and Riza Demirer

No 202160, Working Papers from University of Pretoria, Department of Economics

Abstract: We contribute to the literature on the propagation of oil price uncertainty shocks on to real equity prices of 26 advanced and emerging countries using a Global Vector Autoregressive (GVAR) model, over the quarterly period of 1979:2 to 2019:4. Using a newly developed model-free robust estimate of oil price uncertainty, our findings reveal a statistically significant negative effect on 23 of the 26 stock markets considered, with stronger adverse responses observed for net oil-exporting and emerging economies. Our results have important implications for investors and policymakers.

Keywords: Oil Price Uncertainty Shocks; International Equity Markets; Global Vector Autoregressive Model (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2021-08
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (1)

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