Stock markets, Sino–US monetary policy, and international crude oil prices

The international crude oil market serves not only as an indicator of the global economy but also as a critical determinant of the stability of the global financial market. Based on the monthly data from January 2002 to April 2024, this study analyzes the relationships between major global stock markets, monetary policies, gold, and the volatility of international crude oil prices through the application of the VAR-DCC-GARCH model and the OI-VAR-SV model. The results show that: (1) There is a significant dynamic positive correlation between major global stock markets and returns in the international crude oil market (ICOM). Notably, significant fluctuations in developed countries' stock markets, represented by the US, have a significant positive short-term influence on the ICOM. (2) Both China's and the United States' monetary policies have a short-term impact on the ICOM. A contractionary monetary policy implemented in the United States exerts a positive influence on the ICOM, whereas China's monetary policy affects oil markets less than the U.S.'s, and in the opposite way. (3) As an important safe-haven asset, an increase in gold returns is likely to result in a substantial decline in the returns of the ICOM in the short term.