We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e. aggregate demand, oil supply, and oil-specific demand shocks) and stock market volatility using a structural Vector Autoregressive model. Identification is achieved by assuming that the price of crude oil reacts to stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous, but predetermined with respect to the stock market. We show that volatility responds significantly to oil price shocks caused by unexpected changes in aggregate and oil-specific demand, while the impact of supply-side shocks is negligible

Bastianin, A., Manera, M. (2018). How does stock market volatility react to oil price shocks?. MACROECONOMIC DYNAMICS, 22(3), 666-682 [10.1017/S1365100516000353].

How does stock market volatility react to oil price shocks?

Bastianin, A
;
Manera, M
2018

Abstract

We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e. aggregate demand, oil supply, and oil-specific demand shocks) and stock market volatility using a structural Vector Autoregressive model. Identification is achieved by assuming that the price of crude oil reacts to stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous, but predetermined with respect to the stock market. We show that volatility responds significantly to oil price shocks caused by unexpected changes in aggregate and oil-specific demand, while the impact of supply-side shocks is negligible
Articolo in rivista - Articolo scientifico
Realized Volatility, Oil Price Shocks, Oil Price, Stock Prices, Structural VAR
English
2018
22
3
666
682
reserved
Bastianin, A., Manera, M. (2018). How does stock market volatility react to oil price shocks?. MACROECONOMIC DYNAMICS, 22(3), 666-682 [10.1017/S1365100516000353].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/97280
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